A PARCH MODELLING OF THE IMKB INDEX

Year 2002, Volume: 2 Issue: 3, 114 - 122, 01.05.2002

Erdinç Telatar H Soner Binay

Abstract

PARCH Power Aoutoregressive Conditional Heteroscedasticity models that could be considered as the extension of ARCH class models were introduced by Ding, Granger and Engle 1993 . This paper investigates the applicability of PARCH modelling strategy to the ùMKB index and compares the findings with the results obtained for other countries. The findings indicate that the volatility of the IMKB index is higher than that of the other countries' exchanges.

A PARCH MODELLING OF THE IMKB INDEX

Abstract

References

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