Estimation of the Future Values of BIST 30 Shares with Geometric Brownian Motion and Volatility Analysis with ARIMA, SARIMA, GARCH, EGARCH, GJR Models

Sonat Bayram
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Sonat Bayram: Trakya University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue Special2, 191-218

Abstract: In determining the future values of BIST 30 stocks with the Geometric Brownian Motion (GBM), it was found that the hit rate in the first thirty days is quite high, the prediction error increases due to external shocks as the time gets longer, and the prediction error of stocks with low variance is lower than the others. Time series produced by Geometric Brownian Movement (GBM) are measured more accurately with the autoregressive integrated moving average seasonal ARIMA (SARIMA) (Gaussian Distribution) model (12 companies), followed by the best asymmetry type volatility model respectively EGARCH (11 companies), GARCH (6 company), GJR (1 company).

Keywords: GBM; Volatility; EGARCH; GJR (search for similar items in EconPapers)
JEL-codes: G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:special2:p:191-218

DOI: 10.33203/mfy.844861

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