From Discrete to Continuous : Modeling Volatility of the Istanbul Stock Exchange Market with Garch and Cogarch

• Autorzy: Gazanfer Unal , Yavuz Yildirim
• Języki publikacji: EN

Abstrakty

EN

The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARM A and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling. Through applying unit root and stationary tests on the log return of the index, we found that log return of ISE100 data is stationary. Best candidate model chosen was found to be AR(1)~GARCH(1,1) by AIC and BIC criteria. Then using the parameters from the discrete model, COGARCH(l,l) was applied as a continuous model.(original abstract)

Słowa kluczowe

EN

Stock exchange analysis; GARCH model; Time-series analysis

PL

Analiza giełdowa; Model GARCH; Analiza szeregów czasowych

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2011
• Tom: Mathematical, Econometrical and Computer Methods in Finance and Insurance 2009
• Strony: 120--126

Twórcy

autor

Gazanfer Unal

• Yeditepe University, Turkey

autor

Yavuz Yildirim

• Yeditepe University, Turkey

Bibliografia

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• Maller R.A., Müller G., Szimayer A. (2008): GARCH Modelling in Continuous Time for Irregularly Spaced Time Series Data. "Bernoulli", No. 14(2).
• Müller G., Durand R., Maller R., Klüppelberg C. (2009): Analysis of Stock Market Volatility by Continuous-time GARCH Models. [in:] Stock Market Volatility. Ed. G.N. Gregoriou. Chapman Hall/Taylor and Francis, London.
• Nelson D.B. (1990): ARCH Models as Diffusion Approximations. "Journal of Econometrics". No. 45.