MODELLING STOCK MARKET VOLATILITY: THE CASE OF BIST-100
The interest for the stock market volatility, considered as a marker of inefficient pricing of stock shares and insufficient functionality of the financial markets, has increased during the recent years. This is evidenced by the increasingly risky nature of stock investments and the stock market d...
| Published in: | Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Academica Brâncuşi
2015-10-01
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| Subjects: | |
| Online Access: | http://www.utgjiu.ro/revista/ec/pdf/2015-05/07_FILIZ.pdf |
| Summary: | The interest for the stock market volatility, considered as a marker of inefficient pricing of stock shares and
insufficient functionality of the financial markets, has increased during the recent years. This is evidenced by
the increasingly risky nature of stock investments and the stock market due to the increase in volatility of the
stock prices. The objective of this study is to model and analyze stock return volatility for BIST-100. To fulfill
that objective, stock return volatility for BIST-100 1997: 01 – 2015: 03 period was modeled using ARCH,
GARCH, EGARCH and TARCH models. It was concluded that the most suitable model for BIST-100 return
series was the EGARCH (1, 1). Results demonstrated that while the leverage effect was significant for BIST-
100, negative news that affect the markets also increase the volatility. Another finding showed that BIST-100
volatility demonstrated continuity. |
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| ISSN: | 1844-7007 1844-7007 |