Author

  • Yasemin Deniz Akarım

    • Dumlupınar University, Department of Banking and Finance, Turkey
    • Türkiye

  • Soner Akkoc

    • Dumlupınar University, Department of Banking and Finance, Turkey
    • Türkiye

Abstract

This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management

Keywords

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How to Cite

Akarım, Y. D., & Akkoc, S. (2013). A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange. Journal of Economics and Behavioral Studies, 5(3), 164-172. https://doi.org/10.22610/jebs.v5i3.391

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Copyright (c) 2013 Yasemin Deniz Akarım, Soner Akkoc (Author)

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Vol. 5 No. 3 (2013) Ownership, Forecasting & Consumer Subcultures View issue contents

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2013-03-30

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