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Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange

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  • Okay, Nesrin

Abstract

This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the hypothesis that negative return shocks cause higher volatility than positive return shocks at the Istanbul Stock Exchange.

Suggested Citation

  • Okay, Nesrin, 1998. "Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange," MPRA Paper 52812, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:52812
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    File URL: https://mpra.ub.uni-muenchen.de/52812/1/MPRA_paper_52812.pdf
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    References listed on IDEAS

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    5. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
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    8. Bera, Anil K & Higgins, Matthew L, 1993. "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-366, December.
    9. Bollerslev, Tim & Domowitz, Ian, 1993. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
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    Cited by:

    1. Yasemin Deniz Akarım, 2013. "A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange," Journal of Economics and Behavioral Studies, AMH International, vol. 5(3), pages 164-172.

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    More about this item

    Keywords

    GARCH; EGARCH; Istanbul Stock Exchange;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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