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Citation Number 6

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GARCH MODELLERİ VE VARYANS KIRILMASI: İMKB ÖRNEĞİ

2011

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Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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Abstract:

In this study; breaks in stock price volatility are detected with ICSS algorithm which was developed by Inclan and Tiao 1994 After detecting multiple breaks in variance dummy variables are introduced to the variance equation of GARCH 1 1 model to account for the sudden changes in variance We examined daily İMKB U30 return series and found that volatility persistence has considerably dwindled in new GARCH 1 1 model with eight dummy variables Key Words: GARCH Variance Break ICSS Volatility

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Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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Endnote

GARCH MODELLERİ VE VARYANS KIRILMASI: İMKB ÖRNEĞİ

2011

Journal:

Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

Author:

Abstract:

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Citation Owners

Attention!
To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

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If you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.

Similar Articles

Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

User Guide

Menu

Mendeley

Endnote

GARCH MODELLERİ VE VARYANS KIRILMASI: İMKB ÖRNEĞİ

2011

Journal:

Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

Author:

Abstract:

Keywords:

Citation Owners

Attention! To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus AccessIf you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.

Similar Articles

Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

Attention!
To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus Access
If you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.