Analysis the Volatility of Bist Gold and Measurement of the Performance

İsmail Şencan

Journal of Finance Letters (Maliye ve Finans Yazıları), 2017, vol. 32, issue 107, 10-24

Abstract: This study aims to define the best fit conditional heteroscedasticity model for modeling the volatility of bist gold index returns. In this study, daily closing data of bist gold index between the dates of 1 august 2012 and 11 october 2015 are used. By using the symmetric and asymmetric garch type models, it is indicated that the best fit model for modelling the volatility of bist gold index return is garch(1,1).

Keywords: Gold Index; Volatility; GARCH Type Models (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/295243 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:32:y:2017:i:107:p:10-24

DOI: 10.33203/mfy.307170

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().