Korku Endeksi (VIX) ile BİST 100 ve BİST 30 Endeksleri Arasındaki Volatilite Etkileşiminin CCC- GARCH Modeli ile Tahmini
Estimation of Volatility Interaction Between Fear Index (VIX) and BIST 100 and BIST 30 Indices with CCC-GARCH Model
Author(s): Yunus Baydaş
Subject(s): Economy, Economic history, International relations/trade, Methodology and research technology, Present Times (2010 - today)
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: volatility interaction; Fear Index (VIX); BIST 100; BIST 30; CCC-GARCH Model;
Summary/Abstract: The aim of this study is to predict the volatility interaction between the Fear index (VIX) and BIST 100 and BIST 30 with the CCC-GARCH Model. In this direction, the daily closing data for the period 02.01.2015-17.01.2023 was used as the data set. According to the results obtained, it has been determined that there is no volatility interaction from BIST 100 index to VIX, but there is volatility interaction from VIX to BIST 100 index. It has been determined that there is a one-way volatility interaction from VIX to BIST 100 index. It has been determined that there is no volatility transfer between VIX and BIST 30 index.
- Page Range: 157-169
- Page Count: 13
- Publication Year: 2023
- Language: Turkish