Köksal, Bülent - Volkswirtschaftliche Fakultät, … - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react to …