MODELLING STOCK MARKET VOLATILITY: THE CASE OF BIST-100

Filiz Eryilmaz
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Filiz Eryilmaz: ULUDAG UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES DEPARTMENT OF ECONOMICS

Annals - Economy Series, 2015, vol. 5, 37-47

Abstract: The interest for the stock market volatility, considered as a marker of inefficient pricing of stock shares and insufficient functionality of the financial markets, has increased during the recent years. This is evidenced by the increasingly risky nature of stock investments and the stock market due to the increase in volatility of the stock prices. The objective of this study is to model and analyze stock return volatility for BIST-100. To fulfill that objective, stock return volatility for BIST-100 1997: 01 – 2015: 03 period was modeled using ARCH, GARCH, EGARCH and TARCH models. It was concluded that the most suitable model for BIST-100 return series was the EGARCH (1, 1). Results demonstrated that while the leverage effect was significant for BIST- 100, negative news that affect the markets also increase the volatility. Another finding showed that BIST-100 volatility demonstrated continuity.

Keywords: Volatility; Stock Market Volatility; ARCH-GARCH-TARCH- EGARCH Models; BIST-100; Turkey (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2015:v:5:p:37-47

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