-GARCH ve Asimetrik GARCH modellerinden yararlanılmıştır. 1995-2002 yıllarına ait veriler modellerin tahmininde (estimation …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 …

tahmininde (estimation), 2004 yılına ait veriler ise modellerin öngörü (forecast) performanslarının değerlendirilmesinde … 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 …

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 …

volatility of interest rates play a crucial role in pricing financial instruments. In this empirical study, we try to investigate … GMM a robust estimation method comparing to maximum likelihood. Estimation results reveal that Cox Ingersoll Ross square … interest rate process. We find that the volatility of the interest rate is not affected by policy change. However, the level of …