A PARCH modelling of the IMKB index

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 IMKB index and compares the findings with...

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Bibliographic Details
Published in:Akdeniz IIBF dergisi Vol. 2; no. 3; pp. 114 - 121
Main Authors: Telatar, Erdinc, Binay, H Soner
Format: Journal Article
Language:Turkish
Published: 01-05-2002
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Summary: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 IMKB 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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
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ISSN:1302-9975