Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009). The study aims to analyze the nonlinear behavior and leptokurtic distribution in petrol prices by utilizing a newly developed family of...

In this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH) analyses in Istanbul Stock Exchange (ISE), Turkey, during the period of 1988-2006 and show that ISE's asymmetric response and the intensity of this response to good and/or bad...

The study analyzes the family of regime switching GARCH neural network models, which allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by incorparating with neural network architectures with different dynamics and forecasting capabilities both in addition to the family of...

Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009). The study aims to analyze the nonlinear behavior and leptokurtic distribution in petrol prices by utilizing a newly developed family of...

The Turkish version of this paper can be found at: "http://ssrn.com/abstract=2222071" http://ssrn.com/abstract=2222071The study aims to investigate linear GARCH, fractionally integrated FI-GARCH and Asymmetric Power APGARCH models and their nonlinear counterparts based on Support Vector...

The English version of this paper can be found at: "http://ssrn.com/abstract=2227747" http://ssrn.com/abstract=2227747Çalışma, temel GARCH modelinin Destek Vektör Makinesi ve Yapay Sinir Ağları ile iyileştirilmiş modellerin incelenerek GARCH modelinin tahmin performansının...