Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models

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dc.contributor.authorYener, Haluk
dc.contributor.authorİkizlerli, Deniz
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2024-07-18T20:06:50Z
dc.date.available2024-07-18T20:06:50Z
dc.date.issued2021
dc.departmentİstanbul Billgi Üniversitesien_US
dc.description.abstractIn 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.en_US
dc.identifier.endpage476en_US
dc.identifier.issn1304-4990
dc.identifier.issue2en_US
dc.identifier.startpage457en_US
dc.identifier.trdizinid452716en_US
dc.identifier.urihttps://search.trdizin.gov.tr/yayin/detay/452716
dc.identifier.urihttps://hdl.handle.net/11411/5635
dc.identifier.volume25en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofAtatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisien_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.titleReexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models
dc.typeArticle

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