VIX (Korku Endeksi) ile BİST Endeksleri Arasındaki Volatilite Etkileşiminin DCCGARCH Modeliyle Analizi
Analysis of Volatility Interaction Between VIX (Fear Index) and BIST Indexes With DCCGARCH Model

Summary/Abstract: Purpose – In this study, It is aimed to examine and interpret the volatility interaction between some indexes operating in Borsa Istanbul and VIX (Fear Index). Design/methodology/approach – In the study, daily income series of BIST 30, BIST Corporate Governance, BIST Industry, BIST Trade, BIST Insurance and BIST Leasing and Factoring Indices and VIX (Fear Index), which are active in Borsa Istanbul, constituting the period 02.01.2015-31.12.2020 were used. For the volatility of the return series, DCC-GARCH models, one of the multivariate GARCH models, were used Findings – As a result of the analysis, it is seen that volatility effect and volatility clusters occur in many of the VIX (Fear Index) and BIST indices. In addition, the volatility formed in VIX (Fear Index) increases some of the volatility of BIST indices. There is a positive and strong relationship between the returns of most of the BIST indices and the returns of VIX (Fear Index) that changes over time. In one, positive and low degree of correlation was found. Discussion – It will be important for the relevant persons and institutions to shape their investments and savings by taking into account the results of the VIX (Fear Index) and BIST indices by stocks investors and companies operating in the stock exchange.

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