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DOI :10.26650/ISTJECON2023-1276992   IUP :10.26650/ISTJECON2023-1276992    Tam Metin (PDF)

Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models

İpek M. Yurttagüler

In today’s world where globalization is intensely experienced, differences in risk perception, developments in capital markets, and the negativities faced in the markets due to uncertainty are very important when researching the structures of the stock markets, and therefore determining current volatilities. One of the biggest problems encountered is the inability to price stocks effectively. Therefore, estimating and modeling volatility becomes crucial. The diversity of the portfolio, created by international investors in the financial markets and the sustainability of their investment decisions, are closely related to the volatility variable. However, the fact that financial markets are more fragile in developing countries increases the importance of volatility. There are many different methods in the literature when estimating volatility. Due to the inadequacy of traditional time series models in estimating volatility, conditional heteroskedasticity models are used with ARCH and GARCH class models being frequently used. In this study, the series of daily opening values of the ISE100 Index covering from 02.01.2003 to 30.09.2022 was estimated using ARCH/GARCH models for volatility with the aim to determine which model has the higher explanatory power. According to the findings, the GARCH(1,1) model gave more meaningful results in explaining the ISE100 return volatility. 

Anahtar Kelimeler: Volatility, Conditional Heteroskedasticity Models, Istanbul Stock Market
JEL Classification : E00 , C53 , D53

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APA

Yurttagüler, İ.M. (2024). Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models. İstanbul İktisat Dergisi, 74(1), 37-58. https://doi.org/10.26650/ISTJECON2023-1276992


AMA

Yurttagüler İ M. Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models. İstanbul İktisat Dergisi. 2024;74(1):37-58. https://doi.org/10.26650/ISTJECON2023-1276992


ABNT

Yurttagüler, İ.M. Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models. İstanbul İktisat Dergisi, [Publisher Location], v. 74, n. 1, p. 37-58, 2024.


Chicago: Author-Date Style

Yurttagüler, İpek M.,. 2024. “Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models.” İstanbul İktisat Dergisi 74, no. 1: 37-58. https://doi.org/10.26650/ISTJECON2023-1276992


Chicago: Humanities Style

Yurttagüler, İpek M.,. “Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models.” İstanbul İktisat Dergisi 74, no. 1 (Dec. 2024): 37-58. https://doi.org/10.26650/ISTJECON2023-1276992


Harvard: Australian Style

Yurttagüler, İM 2024, 'Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models', İstanbul İktisat Dergisi, vol. 74, no. 1, pp. 37-58, viewed 24 Dec. 2024, https://doi.org/10.26650/ISTJECON2023-1276992


Harvard: Author-Date Style

Yurttagüler, İ.M. (2024) ‘Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models’, İstanbul İktisat Dergisi, 74(1), pp. 37-58. https://doi.org/10.26650/ISTJECON2023-1276992 (24 Dec. 2024).


MLA

Yurttagüler, İpek M.,. “Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models.” İstanbul İktisat Dergisi, vol. 74, no. 1, 2024, pp. 37-58. [Database Container], https://doi.org/10.26650/ISTJECON2023-1276992


Vancouver

Yurttagüler İM. Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models. İstanbul İktisat Dergisi [Internet]. 24 Dec. 2024 [cited 24 Dec. 2024];74(1):37-58. Available from: https://doi.org/10.26650/ISTJECON2023-1276992 doi: 10.26650/ISTJECON2023-1276992


ISNAD

Yurttagüler, İpekM.. “Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models”. İstanbul İktisat Dergisi 74/1 (Dec. 2024): 37-58. https://doi.org/10.26650/ISTJECON2023-1276992



ZAMAN ÇİZELGESİ


Gönderim04.04.2023
Kabul21.07.2023
Çevrimiçi Yayınlanma19.07.2024

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