Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Analysis of Turkish stock market with Markov regime switching volatility models
Download
index.pdf
Date
2008
Author
Karadağ, Mehmet Ali
Metadata
Show full item record
Item Usage Stats
269
views
98
downloads
Cite This
In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. We investigate various models to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, we apply Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) to compare forecast performance of various models.
Subject Keywords
Finance.
,
Stochastic volatility.
URI
http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf
https://hdl.handle.net/11511/17741
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
The volatility spillover among a country’s foreign exchange, bond, and stock markets: a multivariate garch analysis
Kubilay, Mustafa Murat; Danışoğlu, Seza; Department of Financial Mathematics (2012)
The purpose of this study is to examine the volatility spillover among a country’s foreign exchange, bond and stock markets and the volatility transmission from the global bond, stock and commodity markets to these local financial markets. The sample for the study includes data from both emerging and developed economies in the time period between 2004 and 2011. A multivariate GARCH methodology with the BEKK representation is applied for the local financial markets and global variables are included as exogen...
Stock market integration between Turkey and Euopean Union countries
Yücesan, Esin; Rhoades, Seza; Department of Business Administration (2004)
The objective of the study is to analyze the effects of two breakpoints on the relationships of Istanbul Stock Exchange with the European stock markets and on the relationships among these European stock markets to increase the economic integration. The breakpoints are the execution of the Customs Union Agreement of Turkey with the European Union in 1/1/1996 and the introduction of the Euro in 1/1/1999. While both breakpoints have effects on Turkey̕s economic relations, the European Union countries are expe...
Modelling and implementation of local volatility surfaces
Animoku, Abdulwahab; Yolcu Okur, Yeliz; Uğur, Ömür; Department of Financial Mathematics (2014)
In this thesis, Dupire local volatility model is studied in details as a means of modeling the volatility structure of a financial asset. In this respect, several forms of local volatility equations have been derived: Dupire's local volatility, local volatility as conditional expectation, and local volatility as a function of implied volatility. We have proven the main results of local volatility model discussed in the literature in details. In addition, we have also proven the local volatility model under ...
Risk analysis of the government domestic debt stock in Turkey: cost-at-risk approach
Gürcihan, H. Burcu; Gaygısız Lajunen, Esma; Department of Economics (2004)
In this study, stochastic simulation based risk analysis is applied to the government domestic debt stock in Turkey with the motivation to identify the cost and risk characteristics of alternative debt financing strategies. Future path of interest rates is simulated by using the yield curve forecasting framework in Diebold and Li (2002), which is founded on the Nelson-Siegel yield curve model. Yield curve simulation is based on the estimated term structure of interest rates for the period June 2001-July 200...
Stochastic volatility, a new approach for vasicek model with stochastic volatility
Zeytun, Serkan; Hayfavi, Azize; Department of Financial Mathematics (2005)
In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The para...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
M. A. Karadağ, “Analysis of Turkish stock market with Markov regime switching volatility models,” M.S. - Master of Science, Middle East Technical University, 2008.
