Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

Table 2

Hurst index of Turkish banks.

Bank name	2014	2015	2016	2017	2018	2019
AKBNK	0.652769	0.656147	0.586048	0.58668	0.647368	0.668232
ALBRK	0.629457	0.587927	0.63844	0.596201	0.600489	0.659161
GARAN	0.652298	0.632535	0.642009	0.55874	0.60102	0.681015
SAHOL	0.600595	0.670273	0.666381	0.569587	0.609148	0.687937
HALKB	0.676798	0.652517	0.640908	0.622126	0.613306	0.702969
SKBNK	0.676455	0.650333	0.677969	0.613078	0.626658	0.682499
ISCTR	0.64333	0.622357	0.601151	0.598708	0.635926	0.668748
VAKBN	0.666231	0.664583	0.604965	0.589275	0.618239	0.69186
YKBNK	0.692973	0.625026	0.669931	0.640426	0.773327	0.69113
TSKB	0.548016	0.644964	0.671721	0.655892	0.584476	0.663363
DENIZ	0.602083	0.613773	0.598382	0.618572	0.71212	0.597471