We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Since the process of globalization accelerates all over the world, trade and economic relations among countries become very intensive and the stock markets in these countries started to integrate to each other quickly. As a result of this, world wide stoc