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 …

due to high volatility in daily returns, ARCH-type models are incompetent in modeling daily volatility … 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 …

, hisse senedi piyasalarının volatilitesi üzerindeki etkisini belirlemektir. Bu amaçla emtia fiyatları, yatırımcıların risk … endeksleri için volatilite yayılma etkisinin, risk iştahı endeksi (VIX), ABD getiri farkı (T10Y3M) ve petrol volatilite endeksi …. English abstract: The aim of this study is to determine the volatility effect of the fundamental dynamics of the international …

, hisse senedi piyasalarının volatilitesi üzerindeki etkisini belirlemektir. Bu amaçla emtia fiyatları, yatırımcıların risk … endeksleri için volatilite yayılma etkisinin, risk iştahı endeksi (VIX), ABD getiri farkı (T10Y3M) ve petrol volatilite endeksi …English Abstract: The aim of this study is to determine the volatility effect of the fundamental dynamics of the …

daily Dollar and Euro returns data from 2002 to 2015, and the causalities between these volatilities and returns have been …,1) models to acquire volatilities. The causalities between the exchange rate returns and volatilities obtained from TARCH (1 … causality (in 2008-2010 subperiod excluding US Dollar) is determined from returns to volatilities …

model for gold market index volatility is EGARCH (1,1). There is no leverage effect in this model, but positive shocks are … the result of more volatility than negative shocks …