Abstract
The aim of this study is to predict the stock market, gold, foreign exchange and oil prices with Box-Jenkins and ARCH models. In this direction, weekly datasets are used of BIST100 index, gold and oil prices and exchange rate variables between 01.02.2009-11.25.2016. As a result of the analyses, asymmetric effect is revealed in all variables except gold prices. Also, the predictions obtained from the ARCH models were found to be close to zero in the theil statistics.
Cite
CITATION STYLE
Değirmenci, N., & Akay, A. (2017). Finansal Verilerin ARIMA ve ARCH Modelleriyle Öngörüsü: Türkiye Örneği. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 12(3), 15–36. https://doi.org/10.17153/oguiibf.317641
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