Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Authors : Mehmet ÇANAKCI, Ömer Faruk DERİNDAĞ

Pages : 1-16

Doi:10.18037/ausbd.758022

View : 22 | Download : 13

Publication Date : 2020-06-25

Article Type : Research Paper

Abstract :This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.
Keywords : TIMEX, MV GARCH, Volatility Spillover