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- W564149056 abstract "The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using threshold autoregressive GARCH (TAR-GARCH) model. This study is the first one which examines the asymmetric volatility of stock index return in Turkish stock market by using TAR-GARCH model with daily data for a period of fifteen years. Results show that stock return volatility reacts asymmetrically to past information at a lag of one time period in the Turkish stock market." @default.
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- W564149056 date "2007-01-01" @default.
- W564149056 modified "2023-09-28" @default.
- W564149056 title "Asymmetric Responses in Volatility Between Positive and Negative Shocks: New Evidence From Turkish Data by Using TAR-GARCH Model" @default.
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