volatility prediction models is to accurately estimate volatility. In this study, MA, EWMA, GARCH (1,1) and IGARCH models have … results, it has been determined that EWMA model has yielded better estimates than GARCH(1,1) and IGARCH models in terms of …

only in the monthly returns making only the EWMA model usable to measure the volatility level in the monthly series. The P-GARCH … conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean … [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also …