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Claim

Hisse senedi getirilerinde volatilite ve otokorelasyon ilişkisi:Ear-Garch modeli

The relationship between volatility and autocorrelation in the stock returns: Ear-Garch model
descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2008 Turkey Turkish Publisher:Cahit AYDEMİR
Authors: Akar, Cüneyt;

handle: 20.500.12462/5083 , 20.500.12462/20766

Hisse senedi getirilerinde volatilite ve otokorelasyon ilişkisi:Ear-Garch modeli

Abstract

Bu çalışmada İstanbul Menkul Kıymetler Borsası (IMKB100,IMKB50,IMKB30) endeksleri günlük verileri ve koşullu heteroskedastik hata terimine sahip üstel otoregresif volatilite modeli (EAR-GARCH) kullanılarak endeks getirilerinde volatilite ve otokorelasyon ilişkisi araştırılmıştır. Çalışma sonuçları, endeks getiri volatilitesiyle birinci mertebeden otokorelasyonlar arasında aynı yönlü bir ilişki olduğunu göstermektedir.

Country
Turkey
Related Organizations
Keywords

Volatilite, Volatility, Autocorrelation, Volatilite;Otokorelasyon;EAR-GARCH, Otokorelasyon, İktisat, EAR-GARCH

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green