Özet:

Purpose: Volatility in finance continues to increase its importance for investors. In addition to diversifying their portfolios, financial investors are rapidly turning to Islamic finance investment instruments in order to minimize their risks. For this reason, the importance of Islamic finance and Islamic finance investment tools is increasing day by day. The purpose of this study in Turkey based on Islamic rules Participation-30 Index traded companies that are finding the most appropriate method of modeling the financial volatility. Methodology: The daily closing values of the Participation-30 Index covering the period 07.01.2011-02.11.2020 were used in the study. The methods used in the study are ARCH, GARCH, ARCH-M, GARCH-M, IGARCH models. Findings: As a result of the analysis, the GARCH-M model was found as the best predictor of Participation-30 Index. Originality: It is believed that finding the most appropriate model for index forecasting in the study will allow both investors to evaluate portfolio investments efficiently and effectively, as well as ease of modeling and forecasting index returns more efficiently.

Anahtar Kelimeler: