- Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
- Vol: 3 Issue: 1
- Bazı Makro Ekonomik Zaman Dizilerinde Değişen Varyanslılığın İncelenmesi
Bazı Makro Ekonomik Zaman Dizilerinde Değişen Varyanslılığın İncelenmesi
Authors : Sabri Serkan Kizilsu, Sezgin Aksoy, Reşat Kasap
Pages : 1-18
View : 7 | Download : 6
Publication Date : 2001-06-01
Article Type : Other
Abstract :This study has contained the application of models which is autoregressive conditional heteroscedasticity (ARCH) that improvised by Engle (1982) and its derivation models. At this research, firstly, theoretical structure of non-linear time series models are given and then their applications are introduced. In the application part, the modelling of time series which have different fluctuations has been done. These series are annual growth rates of the gross national product (GNP), rates of monthly consumer price index, monthly values of Istanbul Stock Exchange (1SE) National-100 index (based on Turkish Lira) for the end of term, and overnight interest rate of Esbank.Keywords :