Asymmetric Responses in Volatility Between Positive and Negative Shocks: New Evidence From Turkish Data by Using TAR-GARCH Model

Cuneyt Akar

Istanbul Stock Exchange Review, 2007, vol. 9, issue 36, 69-76

Abstract: The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using threshold autoregressive GARCH (TAR-GARCH) model. This study is the first one which examines the asymmetric volatility of stock index return in Turkish stock market by using TAR-GARCH model with daily data for a period of fifteen years. Results show that stock return volatility reacts asymmetrically to past information at a lag of one time period in the Turkish stock market.

Keywords: Asymmetric Volatility; TAR-GARCH; Nonlinear Volatility (search for similar items in EconPapers)
JEL-codes: C50 G10 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:9:y:2007:i:36:p:69-76

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