EXAMINATION OF THE PREDICTABILITY OF BDI AND VIX : A THRESHOLD APPROACH

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dc.contributor.authorBildirici, Melike
dc.contributor.authorErsin, Ozgur
dc.contributor.authorOnat, Isil Sahin
dc.date.accessioned2024-03-13T10:33:07Z
dc.date.available2024-03-13T10:33:07Z
dc.date.issued2019
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThe market volatility index (VIX) and the Baltic dry index (BDI) are evaluated as two important economic indicators, the former as being a gauge of investor's fear and risk and the latter as being a reflection of costs associated to shipment of dry cargo. However, the empirical analyses aiming at achieving future forecasts suffer drastically due to inherent threshold effects the leptokurtic distribution The purpose of the paper is to propose the application of threshold models that allow regime dependent dynamics in the conditional mean and variance processes simultaneously to overcome this difficulty. Accordingly, four different threshold GARCH specifications are evaluated: TAR-GARCH, TAR-TGARCH, TAR-TR-GARCH and TAR-TR-TGARCH which allow more complex threshold behavior as one moves from the former to the letter. The empirical findings show the following, i. all of the four models provide significant improvements in terms of out-of-sample forecasting, ii. the threshold effects are dominant in both series and the proposed threshold models are capable to overcome the ARCH effects, iii. without the simultaneous modelling of threshold effects in the mean and variance processes, additional within regime specifications are needed to account for the negative and positive innovations, iv. BDI and VIX are two indexes that should be modeled with caution and once controlled for the threshold effects, they possess significant potential to be taken as future leading economic indicators.en_US
dc.identifier.doi10.19272/201906703001
dc.identifier.endpage28en_US
dc.identifier.issn0391-8440
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85132522261en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage9en_US
dc.identifier.urihttps://doi.org/10.19272/201906703001
dc.identifier.urihttps://hdl.handle.net/20.500.12662/3786
dc.identifier.volume46en_US
dc.identifier.wosWOS:000517992400001en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherFabrizio Serra Editoreen_US
dc.relation.ispartofInternational Journal Of Transport Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectBDIen_US
dc.subjectVIXen_US
dc.subjectVolatilityen_US
dc.subjectGARCHen_US
dc.subjectThresholden_US
dc.subjectTARen_US
dc.subjectNonlinear time seriesen_US
dc.subjectEconomic indicatoren_US
dc.titleEXAMINATION OF THE PREDICTABILITY OF BDI AND VIX : A THRESHOLD APPROACHen_US
dc.typeArticleen_US

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