BIST Şehir Endekslerine Ait Volatilitenin Modellenmesi (Araştırma Makalesi)

• Published in: Journal of Accounting & Finance / Muhasebe ve Finansman Dergisi 2020-01 (85)
• Main Author: Öyküm, Esra Aşkın
• Format: Article
• Language: Turkish
• Subjects: Cities; Financial performance; Indexes; Stock exchanges; Urban development; Volatility
• ISSN: 1304-0391; 2146-3042

City indexes calculated by Istanbul Stock Exchange (ISE) are important indicator of regional development. A city index, which shed light on the financial situation of the region, is a very useful guide for investors who decide an investment under uncertainty.For this reason, drawing a map of the financial performance of these cities attracts both investors and researchers in recent years. In this study, the volatility of 9 city index daily return series calculated between February 2009 and March 2019 was estimated with different symmetric and asymmetric conditional variance models.The heavy-tailed structure of financial time series was taken into account and not only the normal distribution but also Student-t and Generalized Error Distribution (GED) distribution were used to describe the conditional distribution of error terms. In addition to the various model selection criteria in the determination of the appropriate model, return series were split into two sets as training and test, and the forecasting performance criteria of the models were calculated. One of the most notable results is that asymmetric models produced successful results in all index return series except Antalya city index. In addition, negative shocks were found to cause more volatility than positive shocks of the same size in all indexes except the Tekirdağ.