Bu çalışmanın temel amacı vadeli ve spot piyasaları arasındaki getiri volatilite etkileşimi belirlemektir. doğrultuda BIST 30 işlem sözleşmeleri endeksi ile piyasalarında gören Vadeli, 100, 30, Banka, Hizmet, Turizm Sanayi Endekslerinin 29.06.2012 – 28.07.2021 dönemine ait günlük verileri kullanılmıştır. Vadeli VAR-EGARCH modelinin yardımıyla analiz edilmiştir. Yapılan analizler sonucunda Sanay...

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two di erent frameworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH and EGARCH models, with intraday seasonality being accounted for. We also highlight the impact of ch...

This paper examines the forecasting performance of four GARCH(1,1) models (GARCH, EGARCH, GJR and APARCH) used with three distributions (Normal, Student-t and Skewed Student-t). We explore and compare different possible sources of forecasts improvements: asymmetry in the conditional variance, fat-tailed distributions and skewed distributions. Two major European stock indices (FTSE 100 and DAX 3...

The study examines the ability of three volatility-forecasting models to estimate the term structure of implied volatilities. The tests are performed on equity Warrants listed on the JSE with the three measures being the Generalized Autoregressive Conditional Heteroscedicity (GARCH), the exponential GARCH (EGARCH) and the Exponentially Weighted Moving Average (EWMA). The Black-Scholes implied v...

This study extends the dynamic conditional correlation model to allow day-specific correlations of shocks across international stock markets. The properties of the resulting periodic dynamic conditional correlation (PDCC) model are examined, with the model then applied to study the intra-week interactions between six developed European stock markets and the US over the period 1993 2005. We find...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...