Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
AbstractThis study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model is extended by taking account of the volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially reduces volatility persistence and suggest that the sudden shifts in volatility should not be ignored in modelling volatility for Turkish sector indices.
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Bibliographic InfoArticle provided by Technological Educational Institute (TEI) of Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).
Volume (Year): 4 (2011)
Issue (Month): 3 (December)
Stock return volatility; volatility shifts; persistence; Turkish stock market;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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