Selecting the Appropriate Generalized Conditional Heteroscedastic Model for the Daily Imkb Index Returns

12 Pages Posted: 12 Feb 2001

See all articles by Aziz Kutlar

Aziz Kutlar

Cumhuriyet University

Ekrem Donek

Erciyes University - Department of Economics

Date Written: undated

Abstract

In this study, the equities' returns operated in the Istanbul Stock Exchange Market (IMKB) have been considered using the models applied for the series with high frequency. As for the data, the daily IMKB-National 100 Index has been used for the period starting from the beginning of 1988 to the mid of 2000. For this index, the most appropriate asymmetric EGARCH(2,2) model has been attained comparing different models of TGARCH, EGARCH and ARCH-M as different versions of the generalized heteroscedastic models (symmetric or asymmetric GARCH). Later on, the research has focused on whether these variables affect each other or not in the context of the Granger-causality relationship between the stock market return and the stock market return uncertainty.

Suggested Citation

Kutlar, Aziz and Donek, Ekrem, Selecting the Appropriate Generalized Conditional Heteroscedastic Model for the Daily Imkb Index Returns (undated). AFA 2001 New Orleans Meetings. Available at SSRN: https://ssrn.com/abstract=255595 or http://dx.doi.org/10.2139/ssrn.255595

Aziz Kutlar (Contact Author)

Cumhuriyet University ( email )

Department of Economics
Sivas
Turkey
+90 34 62191010 (Phone)

Ekrem Donek

Erciyes University - Department of Economics ( email )

Faculty of Economic and Administrative Sciences
Kayseri
Turkey

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