. English abstract: The aim of this study is to determine the volatility effect of the fundamental dynamics of the international … is found that the spillover effect for stock markets indexes are caused by Volatility Index (VIX), US' yield spreads, and … Oil Volatility Index (OVX). Also, this effect is greater stock markets indexes of developed countries. The impact of …

English Abstract: In this paper, we investigate the existence of volatility clustering, asymmetric price movements … the volatility, we use ARCH-type models based on varying variance on a daily and weekly basis. In addition to ARCH and … the evaluation of the forecast performance of the models. By comparing the volatility forecasts of the models with the …

GARCH models for daily, weekly and monthly volatility in composite, financial, services and industry indices of Istanbul … Stock Exchange (ISE). Some properties of financial data namely volatility clustering, asymmetrical price movements, leverage … volatility along with classical GARCH model, EGARCH, GJR-GARCH, Asymmetrical PARCH and Asymmetrical CGARCH models have been …

English Abstract: In this study, intraday return and volatility structures are researched in Borsa Istanbul using 102 … the double “U” form, the volatility structure fits the “L” form and both are consistent with the literature …. Implementation of opening and closing call sessions significantly affected the structure of return and volatility at the opening time …