volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

volatility risk premiums are higher for firms that report later in the quarter. Further tests show the increase in option …

is a shock to uncertainty. The key distinction we draw is between realized volatility – the realization of large shocks … specifications, shocks to realized stock market volatility are contractionary, while shocks to uncertainty have no significant effect … volatility, but the premia associated with shocks to uncertainty have not been statistically different from zero. We argue that …