The aim of the study is to analyze the volatile behavior of ISE-100 index with symmetric and asymmetric stochastic volatility models. Towards to the purpose of the study, the volatile behavior of ISE-100 index is investigated with traditional stochastic volatility model and dynamic stochastic volatility model with leverage effect. According to empirical results, Istanbul Stock Exchange has proved to be a market where volatility clustering occurs. It is determined that the volatility has predictable level and there exists strong and significant leverage effect in Istanbul Stock Exchange.
Key words: Stochastic Volatility, Dynamic Stochastic Volatility Model with Leverage Effect, ISE-100. JEL Classification: C11, G10. Article Language: EnglishTurkish
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