Bu çal??mam?z Borsa ?stanbul’da yeni ve kapsay?c? bir Enerji Endeksi olu?turulmas? için at?lan yap?lacak olan çal??malara ilk ad?m olarak de?erlendirilmelidir. Önerilen endeks yak?n zamanda borsada i?lem görmeye ba?layan en büyük perakende enerji ?irketlerinden biri Enerjisa’y? da kapsayarak di?er endekslerden ayr??maktad?r. Çal??mada DCC-GARCH yakla??m? benimsenmi?tir. Öncelikle petrol fiyatla...

This paper studies volatility forecasting in the financial stock market. In general, stock market volatility is time-varying and exhibits clustering properties. Thus, this paper presents the results of using a fuzzy system method to analyze clustering in generalized autoregressive conditional heteroskedasticity (GARCH) models. It also uses the adaptive method of recursive least-squares (RLS) to...

We conduct empirical analyses to model the volatility of stock market in Malaysia. The GARCH type models (symmetric and asymmetric GARCH) are used to model the volatility of stock market in Malaysia. Their performances are compared based on three statistical error measures tools, i.e. mean squared error, root means squared error and mean absolute percentage error for in sample and out sample an...

This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and onemonth forward prices for the period 2 June 1992 to 16 January 2004, using recently developed multivariate conditional volatility models, namely the Constant Conditional Correlation Multivariate GARCH (CCCMGARCH) model of Bollerslev [1990], Vector Autoregressive Moving Average – GARCH (VARMAGARCH) m...

Modelling and forecasting volatility of a financial time series has been significant area research in recent years, owing to the fact that is regarded as an essential notion many economic applications. Because not directly observable, analysts are especially eager obtain accurate estimation this conditional variance process. As result, number models have developed specifically suited estimate i...

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.

30 Ocak 2020'de Covid-19, Dünya Sağlık Örgütü tarafından küresel bir sağlık acil durumu ilan edilmiştir. Bu durum hayatın birçok alanında değişikliklere neden olmuştur. Piyasa etkinliğine uygun olmayan, farklılık gösteren sapmalar genel olarak anomali adlandırılmaktadır. Çeşitli anomalilerin varlığı etkin piyasalar hipotezinden olabileceğini göstermektedir. çalışmada finansal yatırım araçlarınd...

This paper is mainly talking about several volatility models and its ability to predict and capture the distinctive characteristics of conditional variance about the empirical financial data. In my paper, I choose basic GARCH model and two important models of the GARCH family which are E-GARCH model and GJR-GARCH model to estimate. At the same time, in order to acquire the forecasting performan...

Previous studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and Exponential GARCH models of conditional volatility. By addin...