İstanbul Menkul Kıymetler Borsası Getirilerindeki Volatilitenin ARCH Teknikleri ile Ölçülmesi

Authors : Atilla GÖKÇE

Pages : 35-58

View : 20 | Download : 10

Publication Date : 2001-06-01

Article Type : Research Paper

Abstract :In this study, ARCH-class models have been estimated by using daily data on stock exchange insert ignore into journalissuearticles values(2245 observations); and later appropriate model have been chosen. The relationship between changes in volatility and market returns has been analyzed by estimating the volatility equation. Parameter estimates indicated a positive realitionship between stock exchange volatility and stock exchange return. However, in this case, according to “news”, the direction of the relationship may change with a reasonable lag. Furthermore, a strong and positive relationship between daily trading volume and daily rate of return have been observed.
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