期刊名称：Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
印刷版ISSN：1301-3688
电子版ISSN：2630-6409
出版年度：2013
期号：42
页码：1-24
语种：English
出版社：Erciyes University
摘要：The objective of this study is to determine the causality relationship between the variables of revenue and uncertainty by using the most appropriate variance model for ISE National 100 Index with the data from 01.Nov.2002 to 08.Aug.2012.This study consists of two main parts.In the first one,TGARCH Model is determined as the most appropriate model ISE National 100 Index by using symmetric and asymmetric GARCH models.In the second part,the causality relationship between the return and risk is analysed as the variances are regarded as the measure of risk which is the variance values obtained from TGARCH Model (1,1).It is concluded that bad news have stronger effects on fluctuations and the returns variable is the Granger cause of the variance variable.
其他摘要：Bu çalışmanın amacı,01.11.2002-08.08.2012 dönemindeki günlük getiri değerleri kullanılarak İMKB Ulusal 100 Endeksi için en uygun farklı varyans modelinden hareketle risk ile getiri arasındaki nedensellik ilişkisinin araştırılmasıdır.Çalışma iki kısımdan o
