出版社：International Medical Journal Management and Indexing System
摘要：The aim of the study is to analyze the volatile behavior of ISE-100 index with symmetric and asymmetric stochastic volatility models. Towards to the purpose of the study, the volatile behavior of ISE-100 index is investigated with traditional stochastic volatility model and dynamic stochastic volatility model with leverage effect. According to empirical results, Istanbul Stock Exchange has proved to be a market where volatility clustering occurs. It is determined that the volatility has predictable level and there exists strong and significant leverage effect in Istanbul Stock Exchange.
关键词：Stochastic Volatility; Dynamic Stochastic Volatility Model with Leverage Effect; ISE-100. JEL Classification: C11; G10.
