A PARCH MODELLING OF THE IMKB INDEX

Authors : Erdinç TELATAR, H Soner BİNAY

Pages : 114-122

View : 58 | Download : 17

Publication Date : 2002-05-01

Article Type : Research Paper

Abstract :PARCH Power Aoutoregressive Conditional Heteroscedasticity models that could be considered as the extension of ARCH class models were introduced by Ding, Granger and Engle 1993 . This paper investigates the applicability of PARCH modelling strategy to the ùMKB index and compares the findings with the results obtained for other countries. The findings indicate that the volatility of the IMKB index is higher than that of the other countries' exchanges.
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