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Dergiler / Akdeniz İİBF Dergisi / 2002 / Cilt: 2 - Sayı: 3

A PARCH MODELLING OF THE IMKB INDEX

Erdinç TELATAR
H Soner BİNAY
Sayfa
114–122
Yayın Tarihi
2002-05-01
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The findings indicate that the volatility of the IMKB index is higher than that of the other countries' exchanges.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Öz 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 .
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Temel Bulgular & Veri:This paper investigates the applicability of PARCH modelling strategy to the ùMKB index and compares the findings with the results obtained for other countries.
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Sonuç & Katkı:The findings indicate that the volatility of the IMKB index is higher than that of the other countries' exchanges.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

Özet

Öz 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.

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Bu Makaleye Atıf Yap

TELATAR, E., BİNAY, H. S. (2002). A PARCH MODELLING OF THE IMKB INDEX. Akdeniz İİBF Dergisi, Cilt: 2 - Sayı: 3, 114–122. https://ajindex.com/articles/90834

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Kaynakça (6)

  1. Brooks, Robert D., Robert W. Faff, Michael D. McKenzie ve Heather Mitchell, “A multi-country study of power ARCH models and national stock market returns”, Journal of International Money and Finance, 19 (3), 1 Haziran 2000.
  2. Ding, Zhuaxin, Clive W.J.Granger ve R. F. Engle, “A long memory property of stock market returns and a new model”, Journal of Empirical Finance, 1, 1993, 83-106.
  3. Hentschel, Ludger, “All in the family: Nesting symmetric and asymmetric GARCH models”, Journal of Financial Economics, 39, 1995, 71-104.
  4. Engle, Robert F., “Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation”, Econometrics, 50, 1982, 987- 1007. Bollerslev, Tim, “Generalised autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31, 1986, 307-328.
  5. Bollerslev, Tim, Ray Y. Chou ve Ken F. Kroner, “ARCH modeling in finance: A review of the theory and empirical evidence”, Journal of Econometrics, 52, 1992, s. 5-59. Matt L. Higgens ve Anil K. Bera, “A class of nonlinear ARCH models”, International Economic Review, c. 3, s. 1, şubat 1992, s.137-147.
  6. T. Bollerslev, R. F. Engle ve D. B. Nelson, Handbook of Econometrics, c. 4, http://www.elsevier.co.jp/hes/books/02/04/049/0204049.htm, (24/03/2001).