From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH
AbstractThe objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling. Through applying unit root and stationary tests on the log return of the index, we found that log return of ISE100 data is stationary. Best candidate model chosen was found to be AR(1)~GARCH(1,1) by AIC and BIC criteria. Then using the parameters from the discrete model, COGARCH(1,1) was applied as a continuous model.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27946.
Date of creation: 15 Nov 2010
Date of revision:
ISE100; IMKB100; GARCH Modeling; COGARCH Modeling; discrete modeling; continuous modeling;
Find related papers by JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-16 (All new papers)
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