The comparison of range-based volatility estimators and an application of TVP-VARbased connectedness

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dc.contributor.authorArı, Yakup
dc.date.accessioned2026-01-24T11:57:07Z
dc.date.available2026-01-24T11:57:07Z
dc.date.issued2022
dc.departmentAlanya Alaaddin Keykubat Üniversitesi
dc.description.abstractThis paper aims to show the application of range-based volatility in connectedness analysis. For this purpose, we compare the volatility estimators Parkinson, Yang-Zhang, Garman-Klass, Rogers-Satchell, and modified Garman- Klass by Yang and Zhang methods. As an example, we calculated the range-based stock prices’ volatility of four defense industry companies quoted in Borsa Istanbul. We compared the forecast performance of volatility against Heteroskedastic Root Mean Square Error statistics. We include the best performing volatility series in the spillover analysis. Instead of the Cholesky decomposition VAR and generalized VAR approaches used in the calculation of the Diebold-Yılmaz connectedness index, we apply the TVP-VAR-based connectedness approach. The comparison results show that Rogers-Satchell for ASELSAN, KATMERLER, and PAPIL, and Parkinson volatility estimator for OTOKAR have the smallest error, respectively. The empirical findings of TVP-VAR connectedness show that the average forecast error variance of the network is 34.35%.
dc.description.abstractThis paper aims to show the application of range-based volatility in connectedness analysis. For this purpose, we compare the volatility estimators Parkinson, Yang-Zhang, Garman-Klass, Rogers-Satchell, and modified Garman- Klass by Yang and Zhang methods. As an example, we calculated the range-based stock prices’ volatility of four defense industry companies quoted in Borsa Istanbul. We compared the forecast performance of volatility against Heteroskedastic Root Mean Square Error statistics. We include the best performing volatility series in the spillover analysis. Instead of the Cholesky decomposition VAR and generalized VAR approaches used in the calculation of the Diebold-Yılmaz connectedness index, we apply the TVP-VAR-based connectedness approach. The comparison results show that Rogers-Satchell for ASELSAN, KATMERLER, and PAPIL, and Parkinson volatility estimator for OTOKAR have the smallest error, respectively. The empirical findings of TVP-VAR connectedness show that the average forecast error variance of the network is 34.35%.
dc.identifier.endpage157
dc.identifier.issn2148-4139
dc.identifier.issue3
dc.identifier.startpage147
dc.identifier.urihttps://hdl.handle.net/20.500.12868/3585
dc.identifier.volume9
dc.language.isoen
dc.publisherRating Academy
dc.relation.ispartofJournal of Life Economics
dc.relation.ispartofJournal of Life Economics
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20260121
dc.subjectBusiness Administration
dc.subjectİşletme
dc.titleThe comparison of range-based volatility estimators and an application of TVP-VARbased connectedness
dc.title.alternativeThe comparison of range-based volatility estimators and an application of TVP-VARbased connectedness
dc.typeArticle

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