Aliyev, Fuzuli - In: International Journal of Financial Studies : open … 7 (2019) 2/27, pp. 1-11
efficiency at Borsa Istanbul using a smooth transition autoregressive (STAR) type nonlinear model. I develop nonlinear ARCH and … STAR models, a linear AR model and random walk model for 10 years’ weekly data and then out-of-sample forecast next 12 … weeks’ return. Comparing forecast performance powers, I find that the STAR model outperforms random walk, that is Borsa …
