BİST Altın Fiyatları Serisinin Markov Rejim Değişim Modeli İle Analizi (Araştırma Makalesi)

Due to its physical and chemical properties, gold is a valuable mine used as an financial investment tool in addition to industrial use. Gold, which asset used as a reserve tool by central banks, is also heavily traded in stock exchanges. In this study, the non-linear structure of Borsa İstanbul (BİST) gold returns analyzed with the Markov Regime Switching Model. In the analysis, the winning and losing periods of gold returns determined by a three-regime model. According to the results of the analysis, the highest return on gold located, before and after the highest volatility period. In addition, the regime with the lowest volatility has the highest time value. This result shows that the volatility of gold is not very high, and it is a reliable investment tool.