Full sample | First subperiod | Second subperiod | |
---|---|---|---|
ARCH–LM test statistic | 160.20 | 96.011 | 38.601 |
Prob. Chi-Square (5) | 0.0000 | 0.0000 | 0.0000 |
EGARCH(1,1) | TGARCH(1,1) | |||||
---|---|---|---|---|---|---|
Model | Full sample | First subperiod | Second subperiod | Full sample | First subperiod | Second subperiod |
0.000821*** | 0.000743* | 0.000744* | 0.000774** | 0.000716* | 0.000934** | |
0.006147 | 0.059654** | −0.046279 | 0.008156 | 0.042385 | −0.054156* | |
1 | −0.001054 | 0.003145** | −0.002748*** | −0.001045 | 0.003549** | −0.003142*** |
−0.335437*** | −0.380741*** | −0.142205*** | 8.82E-06*** | 1.06E-05*** | 7.00E-07 | |
0.139369*** | 0.184271*** | 0.013892 | 0.033089*** | 0.049834*** | −0.014458** | |
−0.071022*** | −0.079453*** | −0.050282*** | 0.092487*** | 0.100430*** | 0.039582*** | |
0.972227*** | 0.969907*** | 0.985540*** | 0.886495*** | 0.870900*** | 0.978532*** | |
−0.030995 | −0.145424*** | 0.034923** | −1.11E-06 | −2.82E-05*** | 1.18E-05*** | |
1.111596 | 1.154178 | 0.999432 | 0.919584 | 0.920734 | 0.964074 | |
AIC | −5.541641 | −5.401561 | −5.789227 | −5.539515 | −5.406895 | −5.782023 |
SC | −5.522625 | −5.370420 | −5.752947 | −5.520500 | −5.375754 | −5.745742 |
AC | 0.050 | 0.059 | 0.033 | 0.053 | 0.064 | 0.036 |
AC | 0.031 | 0.025 | 0.058 | 0.026 | 0.022 | 0.063 |
Obs* | 15.72301 | 16.89227 | 13.51268 | 12.02281 | 12.06731 | 11.94038 |
Statistical indicator | Full sample period | First subperiod | Second subperiod |
---|---|---|---|
Mean | 0.000277 | 0.000327 | 0.000216 |
Median | 0.000737 | 0.000914 | 0.000526 |
Maximum | 0.121272 | 0.121272 | 0.063602 |
Minimum | −0.132585 | −0.132585 | −0.110638 |
SD | 0.016851 | 0.018572 | 0.014508 |
Skewness | −0.288541 | −0.177630 | −0.556939 |
Kurtosis | 9.147130 | 8.798611 | 8.232316 |
Jarque–Bera | 3877.145 | 1878.755 | 1317.614 |
Probability | 0.000000 | 0.000000 | 0.000000 |
Sum | 0.675713 | 0.437161 | 0.238551 |
Sum SD | 0.692872 | 0.460487 | 0.232378 |
Observations | 2441 | 1336 | 1105 |
Model | EGARCH(1,1) | TGARCH(1,1) | ||||
---|---|---|---|---|---|---|
Full sample | First subperiod | Second subperiod | Full sample | First subperiod | Second subperiod | |
0.000724*** | 0.000906** | 0.000333 | 0.000729** | 0.000934** | 0.000522 | |
0.005798 | 0.057195* | −0.040277 | 0.008394 | 0.043277 | −0.050734 | |
−0.000510 | −0.000947 | 0.000183 | −0.000632 | −0.000833 | 0.000335 | |
−0.366020*** | −0.433170*** | −0.138736*** | 1.02E-05*** | 1.02E-05*** | 3.25E-06*** | |
0.147939*** | 0.192757*** | 0.003007 | 0.035126*** | 0.053410*** | −0.008972* | |
−0.07549*** | −0.084255*** | −0.058738*** | 0.092297*** | 0.105968*** | 0.040310*** | |
0.969516*** | 0.965389*** | 0.984060*** | 0.881138*** | 0.863366*** | 0.970516*** | |
−0.047879 | 0.012282 | −0.071438** | −2.17E-05** | −2.13E-05 | −1.08E-05 | |
1.117455 | 1.158146 | 0.987067 | 0.916264 | 0.916776 | 0.961544 | |
AIC | −5.540874 | −5.395254 | −5.785344 | −5.540191 | −5.400103 | −5.769109 |
SC | −5.521858 | −5.364113 | −5.749063 | −5.521175 | −5.368962 | −5.732828 |
AC | 0.052 | 0.060 | 0.043 | 0.055 | 0.028 | 0.048 |
AC | 0.032 | 0.032 | 0.061 | 0.028 | 0.028 | 0.073 |
Obs* | 15.58045 | 18.11254 | 16.88094 | 12.18862 | 13.19092 | 13.47925 |
Critical values | |||||
---|---|---|---|---|---|
Unit root test | ADF statistic | Prob.* | 1% | 5% | 10% |
Full period | −48.34709 | 0.0001 | −3.433 | −2.862 | −2.567 |
First subperiod | −34.458 | 0.0000 | −3.435 | −2.863 | −2.568 |
Second subperiod | −36.152 | 0.0000 | −3.436 | −2.864 | −2.568 |
News headlines | Categorizing | Decision |
---|---|---|
Kurdish leader Abdullah Ocalan declares ceasefire with Turkey. | Good News | Included |
Vladimir Putin: Turkey’s downing of Russian jet “a stab in the back.” | Bad News | Included |
Turkey and United States “agree in principle” to provide air support for Syrian rebels. | Nonevent | Excluded |
Dilek Öcalan, niece of jailed Kurdish leader, enters Turkish parliament. | Nonevent | Excluded |
Good news | Political news with positive nature, which are expected to increase stock market investors’ appetite such as: | |
– signing new deals and accords | ||
– declaring ceasefire | ||
– ending conflicts | ||
– peaceful and successful elections | ||
– quick and easy government formation | ||
– fruitful diplomatic visits | ||
– freeing prisoners, etc. | ||
Bad news | Political news with negative nature, which are expected to decrease stock market investors’ appetite such as: | |
– military incursion into a war zone | ||
– protest movements | ||
– coup attempts | ||
– bombing attacks | ||
– detaining journalists | ||
– cut off diplomatic relations | ||
– unfair elections, etc. |
Model | GARCH(1,1) | GARCH-M(1,1) | ||||
---|---|---|---|---|---|---|
Full sample | First subperiod | Second subperiod | Full sample | First subperiod | Second subperiod | |
0.001111*** | 0.001128** | 0.000948** | 0.001978* | 0.002472* | 0.002450 | |
−0.002174 | 0.031160 | −0.054024* | −0.002785 | 0.029342 | −0.055269* | |
−0.000760 | 0.002617** | −0.001916* | −0.000780 | 0.002426* | −0.001862* | |
−0.061635 | −0.091964 | −0.118868 | ||||
7.41E-06*** | 1.00E-05*** | 6.43E-07 | 7.36E-06*** | 9.94E-06*** | 6.57E-07 | |
0.076551*** | 0.102251*** | 0.015308*** | 0.076102*** | 0.102292*** | 0.015462*** | |
0.898723*** | 0.874146*** | 0.972044*** | 0.899766*** | 0.874655*** | 0.972123*** | |
−4.46E-06 | −2.31E05*** | 7.00E-06*** | −5.14E06 | −2.37E-05*** | 6.71E-06*** | |
0.975274 | 0.976397 | 0.987352 | 0.975868 | 0.976947 | 0.987585 | |
AIC | −5.526698 | −5.393872 | −5.765890 | −5.526090 | −5.393065 | −5.764631 |
SC | −5.510059 | −5.366623 | −5.734145 | −5.507075 | −5.361924 | −5.728350 |
AC | 0.050 | 0.062 | 0.030 | 0.048 | 0.060 | 0.029 |
AC | 0.012 | 0.012 | 0.052 | 0.012 | 0.012 | 0.051 |
Obs* | 9.984522 | 9.742550 | 13.28401 | 9.960117 | 9.442707 | 13.38535 |