.
Vadeli ve Spot Piyasalar Oynaklık İşlem Hacmi ARCH-GARCH İMKB
In this study, the causality relation between ISE 100 index return and Real Sector Confidence Index are analyzed with a two-stage method developed by Cheung and Ng [1]. ISE 100 index return and confidence index are estimated with EGARCH model in the first stage. In the second stage, the standardized residuals and squares obtained from the EGARCH model are used for causality test in the mean and variance for the ISE 100 index return and confidence index. The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.
Birincil Dil | İngilizce |
---|---|
Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 14 Ekim 2009 |
Yayımlandığı Sayı | Yıl 2009 Cilt: 38 Sayı: 1 |