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Asymmetric Responses in Volatility Between Positive and Negative Shocks: New Evidence From Turkish Data by Using TAR-GARCH Model

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  • Cuneyt Akar

Abstract

The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using threshold autoregressive GARCH (TAR-GARCH) model. This study is the first one which examines the asymmetric volatility of stock index return in Turkish stock market by using TAR-GARCH model with daily data for a period of fifteen years. Results show that stock return volatility reacts asymmetrically to past information at a lag of one time period in the Turkish stock market.

Suggested Citation

  • Cuneyt Akar, 2007. "Asymmetric Responses in Volatility Between Positive and Negative Shocks: New Evidence From Turkish Data by Using TAR-GARCH Model," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 9(36), pages 69-76.
    • Handle: RePEc:bor:iserev:v:9:y:2007:i:36:p:69-76
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/IMKB_Dergisi_Turkce36.pdf
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    More about this item

    Keywords

    Asymmetric Volatility; TAR-GARCH; Nonlinear Volatility;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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