English Abstract: In this paper, we investigate the existence of volatility clustering, asymmetric price movements … the volatility, we use ARCH-type models based on varying variance on a daily and weekly basis. In addition to ARCH and … the evaluation of the forecast performance of the models. By comparing the volatility forecasts of the models with the …

due to high volatility in daily returns, ARCH-type models are incompetent in modeling daily volatility … GARCH models for daily, weekly and monthly volatility in composite, financial, services and industry indices of Istanbul … Stock Exchange (ISE). Some properties of financial data namely volatility clustering, asymmetrical price movements, leverage …

, hisse senedi piyasalarının volatilitesi üzerindeki etkisini belirlemektir. Bu amaçla emtia fiyatları, yatırımcıların risk … endeksleri için volatilite yayılma etkisinin, risk iştahı endeksi (VIX), ABD getiri farkı (T10Y3M) ve petrol volatilite endeksi …. English abstract: The aim of this study is to determine the volatility effect of the fundamental dynamics of the international …

, hisse senedi piyasalarının volatilitesi üzerindeki etkisini belirlemektir. Bu amaçla emtia fiyatları, yatırımcıların risk … endeksleri için volatilite yayılma etkisinin, risk iştahı endeksi (VIX), ABD getiri farkı (T10Y3M) ve petrol volatilite endeksi …English Abstract: The aim of this study is to determine the volatility effect of the fundamental dynamics of the …

criteria. Thus, risk assessment and internal rating systems criteria would be made operational by the individual European Union … firms, makes up the input to the risk analysis. This information can be aggregated to portray the sectoral trends, and …

Volatility in financial markets urges importance of risk management with respect to investors and especially firms …

model for gold market index volatility is EGARCH (1,1). There is no leverage effect in this model, but positive shocks are … the result of more volatility than negative shocks …