Öz Bu çalışmanın amacı, Borsa İstanbul bünyesinde yoğun işlem gören Borsa İstanbul
Banka Endeksi'nin (BİST XBANK) volatilite yapısının Markov Rejim Değişimi GARCH modeli …

Many empirical studies have analysed the effect of good news and bad news on equity
market return volatility using both developed and emerging markets data, with scant …

This study investigated the forecasting ability of GARCH family models, and to achieve
superior and more reliable models for volatility persistence, half-life volatility and …

This study contributes to existing literature on the Nigerian stock market by modelling the
persistence and asymmetry of stock market volatility taking into account structural break. It …

We use the exponential Ornstein–Uhlenbeck model to predict the stock price dynamics over
some finite time horizon of interest. The predictions are the key to the investors in a financial …

Portfolio Optimization involves choosing proportions of assets to be held in a portfolio, so as
to make the portfolio better than any other. In this research, we use a software for statistical …

International financial cash flows tend to be hugely affected by uncertainties due to
fluctuations in key economic markets such as foreign exchange and stock markets, which …

In finance, accurately forecasting volatility of any financial asset is very important due to its
usefulness in areas such as option pricing, decision making, and risk management …

Son yıllarda küresel yatırımcıların yatırım kararlarında yaygınca kullanılan karar
değişkenlerinden biri haline gelen volatilite, özellikle gelişmekte olan ülkeleri ciddi şekilde …

Basic objective of study was to examine the effect of ARCH and GARCH model on price
volatility of Nifty Realty Index along with that analysing leverage effects and volatility …