Abstract:

In recent years, the increasing volume of transactions on the financial markets, the developing new investment tools have increased the importance of financial analysis and continue to increase. The analysis of the volatility in the financial markets is of particular importance. The classic GARCH models are widely used for volatility examination. The Bayes theory is a relatively ancient theory found in statistical literature and the Bayes approach developed based on this theory has been applied in many fields for many years. GARCH models can also be predicted as traders by developing the Bayes approach. In this study, the GARCH models are compared by predicting the classical and retail GARCH models for stock returns that are traded at the Istanbul Menkul Securities Exchange (IMKB). The aim here is to explore which model for the IMCB can give better results. The comparison of the forecast models resulted in not finding a meaningful classical GARCH model during the study period for IMKB while the dealer GARCH models showed a meaningful result.

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