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 …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about … volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater … current decisions. Furthermore, hedgers' volatility in Treasury bonds and coffee, and speculators' volatility in gold and S …