Korku Endeksi (VIX) İle Kıymetli Madenler Arasındaki İlişki Üzerine Ekonometrik Bir Çalışma

Tunçel, Mert Baran; Alptürk, Yaşar; Yilmaz, Tayfun; Bekçi, İsmail

doi:10.16951/atauniiibd.885956

Cited by 5 publications

(1 citation statement)

References 18 publications

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“…The number of instances and oil prices had no link. Tuncel et al (2021) examined, using Toda-Yamamoto causality analysis, the link between the VIX index and precious metals like gold, silver, platinum, and palladium. A direct association between the VIX index and gold, palladium, and platinum was identified in the analysis utilising daily data for the time period between 10.01.2014 and 02.01.2020; however, no causal relationship was discovered for the silver variable.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period

Akbulaev

2023

IJEEP

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Commodities are defined as goods that are traded. Thousands of different items are sold on international markets, but strategically important commodities such as gold, silver, and oil are used far more frequently in the real estate industry and financial markets. Oil and these metals are employed in numerous industrial applications throughout the economy, but they also draw substantial investment. The purpose of this study is to investigate the causal connections between the prices of gold and silver, two precious metals, and oil and natural gas, the two most often used energy sources. This was accomplished by comparing the weekly prices of Brent Petroleum (BRENT), Crude Oil (WTI), Natural Gas (NG), and the weekly data of Gold and Silver during and before the SARS-CoV2 epidemic. The study employed the Distributed Delayed Autoregressive Bound Test (ARDL) approach to examine the relationship between the prices of energy (natural gas, Brent oil, and crude oil) and precious metals (silver and gold). The ARDL test showed that the prices of WTI, Brent, and NG had a big effect on the prices of silver and gold during and before the SARS-COV2 pandemic.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period

Akbulaev

2023

IJEEP

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VIX (Korku) Endeksi ile Vadeli İşlemler Piyasaları Arasındaki Nedensellik İlişkisinin Analizi

KILIÇ

ÖZYÜREK

2022

Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Dünyanın herhangi bir finansal piyasasında yaşanan kriz diğer finansal piyasaları da etkilemektedir. Uluslararası piyasalarda birincil olarak kabul edilen finansal endeksler, bireysel ve kurumsal yatırımcıların aldıkları kararları veya alacakları kararları doğrudan etkilemektedir. Bu finansal endeksler arasında en önemlilerden birisi de VIX Korku Endeksi’dir. Literatür incelendiğinde VIX korku endeksi ile ilgili pek çok çalışma yapılmasına rağmen VIX endeksi ile vadeli işlemler piyasasını ele alan çalışmaya rastlanmamıştır. Bu nedenle çalışmanın temel amacı VIX endeksi ile vadeli işlemler piyasası arasındaki nedensellik ilişkisini incelemektir. Bu bağlamda VIX korku endeksi, BIST 30 Vadeli işlemler piyasası ve Altın Vadeli işlemler piyasası değişkenlerinin kullanıldığı çalışmada 01.01.2012 – 21.11.2021 dönemine ait haftalık veriler kullanılmıştır. Değişkenler arasındaki nedensellik ilişkisini açıklamak için Hatemi-J nedensellik testinden yararlanılmıştır. Hatemi-J asimetrik nedensellik testi sonuçlarına göre VIX endeksinden BIST 30 vadeliye doğru pozitif yönde nedensellik olduğu saptanmıştır. VIX endeksi BIST 30 vadeli işlemler piyasasına yatırım yapmak isteyen yatırımcılar açısından dikkate alınmalıdır. Elde edilen bulgulara göre VIX endeksindeki artışlar piyasalarda olası krizleri tahmin edilmesine olanak tanımaktadır.

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Assessing the Effectiveness of Machine Learning Techniques for Silver Price Prediction: A Comparative Study

Ergin,

Eren

2024

Bitlis Eren Üniversitesi Fen Bilimleri Dergisi

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Silver is considered an important asset in terms of economic indicators and a valuable investment asset in terms of the markets. Therefore, determining silver prices is critically important for both national economies and investors. However, the non-stationary and non-linear nature of silver prices makes predicting price movements challenging. The methods used for predicting silver prices must be suitable for capturing these volatile and complex behavioral characteristics. The silver market can be influenced by other commodities and investment assets. Factors affecting silver prices, such as gold prices, Brent crude oil prices, the US Dollar index, the VIX index, and the S&P 500 index, can play a significant role. In this context, these variables have been used as inputs for predicting silver prices in the study. Three different models have been developed to predict the prices one, two, and three days ahead. These models have been predicted using four different machine learning methods: linear regression, support vector regression (SMOReg), k-nearest neighbors (k-NN), and random forest (RF). The results show that the random forest and k-NN methods exhibit the highest performance. The random forest achieves the highest accuracy in the first two models, while k-NN excels in the third model. Linear regression and SMOReg methods are less successful compared to the others. Consequently, it can be concluded that random forest and k-NN methods can be preferred for long-term predictions, and that these results may provide valuable insights, especially for investors and decision-makers.

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Korku Endeksi (VIX) İle Kıymetli Madenler Arasındaki İlişki Üzerine Ekonometrik Bir Çalışma

Cited by 5 publications

References 18 publications

The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period

The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period

VIX (Korku) Endeksi ile Vadeli İşlemler Piyasaları Arasındaki Nedensellik İlişkisinin Analizi

Assessing the Effectiveness of Machine Learning Techniques for Silver Price Prediction: A Comparative Study

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