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Title
BİST Altın Endeksi Oynaklığı Analizi ve Performans Ölçümü.
Authors
ŞENCAN, İsmail
Abstract
This study aims to define the best fit conditional heteroscedasticity model for modeling the volatility of BIST gold index returns. In this study, daily closing data of BIST gold index between the dates of 1 August 2012 and 11 October 2015 are used. By using the symmetric and asymmetric GARCH type models, it is indicated that the best fit model for modelling the volatility of BIST gold index return is GARCH(1,1).
Publication
Journal of Finance Letters / Maliye Finans Yazıları Dergisi, 2017, Vol 31, Issue 107, p9