Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models
Küçük Resim Yok
Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this study, we employ the heterogeneous autoregressive model framework on the(half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helpsus understand the short, medium, and long-term patterns of the volatility dynamics for the returnseries. Notably, we analyze how leverage effect and jumps in the return series affect the realizedvolatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results fromthese models show that there is a leverage effect, albeit small. The effect of jumps is significantand is present either in the short-term or long-term, depending on the type of model utilized forthe analysis. We also detect a diurnal effect at the session level, implying that the realized volatilityof the BIST 100 index is lower in the morning sessions.
Açıklama
Anahtar Kelimeler
Kaynak
Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
25
Sayı
2
