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- Title
KRİPTO PARALARIN VOLATİLİTE MODELİNDE ABD BORSA ENDEKSLERİNİN YERİ: BİTCOİN ÜZERİNE BİR UYGULAMA.
- Authors
KOY, Ayben; YAMAN, Mustafa; METE, Sefa
- Abstract
Crypto currencies, one of the newest innovative financial products traded in the block chain system, attract high interest from investors. BTC which has got the highest transaction volume product in the crypto money market, draws attention with its high volatility and speculative price balloons. This study investigates the presence of US stock index returns in the volatility structure of BTC and includes daily data for the period 10.03.2016 - 11.06.2019. In the study using GARCH, EGARCH and TARCH models from Generalized Autoregressive Conditional Variance Variance models, SP500, Nasdaq100 and Dow Jones Industrial variance variables are used. The findings indicated that (1) all three indices are significant in explaining the volatility of BTC, (2) the models developed with stock market indices are stronger than the similar basic model in all GARCH, EGARCH and TARCH models, and (3) the EGARCH model developed with indices is the most powerful model.
- Publication
Journal of Financial Researches & Studies / Finansal Araştirmalar ve Çalişmalar Dergisi, 2021, Vol 13, Issue 24, p159
- ISSN
1309-1123
- Publication type
Article
- DOI
10.14784/marufacd.880672