Gencer, Gaye Hatice; Musoglu, Zafer - In: International Journal of Financial Research 5 (2014) 2, pp. 87-101
In this study, we model the volatility dynamics of Istanbul Gold Exchange with several GARCH models, which incorporate asymmetry and long-range dependence in the conditional volatility. We use daily spot prices of the gold exchange from January 4, 2006 to November 20, 2013. In addition,...