Akademik Veri Yönetim Sistemi
Finans Politik ve Ekonomik Yorumlar Dergisi, cilt.0, sa.662, ss.39-49, 2022 (Hakemli Dergi)
This study aims to understand the dynamics of long-term exchange rate volatility in Turkey grounded on a mixed data sampling model and see how macroeconomic fundamentals stand for the long-term component of volatility under the floating regime period i.e., for the post-2001 episode. More specifically, we employ the GARCH-MIDAS model to link series sampled at different frequencies and obtain short- and long-term components of volatility. We estimate the model by replacing the realized volatility with exogenous regressors. We control the Beta weights and estimate the model under different samples and for various variables for robustness. Also, we employ the ARDL model to see the longrun relation when series are sampled at the same frequency. We find that the long-term volatility features a high degree of persistence pattern, and the volatility patterns partially occur to absorb shocks to macroeconomic variables.