RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL
BORSA İSTANBUL VE RİSK PRİMİ ARASINDAKİ ETKİLEŞİM: VAR VE NARX MODEL

Author : Nurdan DEĞİRMENCİ - - Hakan PABUÇCU
Number of pages : 248-261

Summary

We aim in this study, to investigate the relationship between Credit Default Swap (CDS)-Borsa Istanbul (BIST) and Artificial Neural Network (ANN) models to make a strong forecast for the future. For this purpose, collect daily data belong to Turkey that are CDS and BIST100 index for 5 years from 2010 to 2015. To analyses the dataset used VAR, Granger causality and ANN (NARX) model. As a result investigate the double way granger causality relationship between CDS-BIST. After determined the VAR Granger causality way, estimated NARX model. NARX model estimated and determined the very strong model to forecast with 〖MSE〗_Test=0,00059.

Keywords

CDS, BIST100, NARX, VAR, Granger

Read:430

Download: 193