This paper considers the forecast accuracies of VAR and ARIMA models. The paper, hence, employs monthly Turkish CPI …, Exchange Rate and Interest rate variables for the period 1994:1-200:07, and, observes the ex-post forecast values of the … MAE, MAPE, MSE, RMSE, Theil U1 and Theil U2 criteria evaluations, this paper reveals that VAR forecast is superior to …

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets … in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis … show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia …

The aim of this study is to compare the ex post forecast accuracies of VAR, ARIMA, ES, Combining and Add-factor methods … adjusted by the additive decomposition method and found as I(1). In the following steps, the ex post forecast models of these … methods are established. Forecast outputs are evaluated by the criteria of MAE, MAPE, MSE, RMSE and Theil U. In conclusion of …

the evaluation of the forecast performance of the models. By comparing the volatility forecasts of the models with the … observed volatility of the out-of-sample period, we evaluate the forecast performance of the models. In the evaluations, we use …), 2003-2004 yıllarına ait veriler ise modellerin öngörü (forecast) performanslarının değerlendirilmesinde kullanılmıştır …

forecasts have been compared with realized volatility for the forecast period. To evaluate the performance of each model … tahmininde (estimation), 2004 yılına ait veriler ise modellerin öngörü (forecast) performanslarının değerlendirilmesinde … GARCH models for daily, weekly and monthly volatility in composite, financial, services and industry indices of Istanbul …

show that inclusion of the GT data increases forecast quality. However, the difference between using the firm's GT data or …