The Dynamics of Jump Intensity in Stock Prices: BIST 100 Example
Chapter from the book:
Alpağut,
S.
(ed.)
2023.
Economics and Finance Studies.
Synopsis
This paper is concerned with the estimation of the time-varying jump intensity of the Borsa Istanbul 100 (BIST 100) index. In the estimation phase, we utilize a new two-step method. In the first step, we employ wavelet filters to compute the number of jumps as a counting process. Next, we apply an integer-valued generalized autoregressive conditional heteroscedasticity model to examine the deterministic and stochastic components of the jump dynamics. Our results indicate not only deterministic diurnal patterns but also an autoregressive mechanism in BIST 100 jump dynamics.
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Copyright (c) 2023 Emre Akusta- Yunus Karaömer- Serhat Alpağut- Savaş Tarkun- Ahmet Tunç; Serhat Alpağut; Ahmet Kadiroğlu- Onur Öksüz- Fatih Demir- Adem Özdemir- Türkan Tuğba Ural- Ali Apalı- Haluk Yener- Burak Alparslan Eroğlu- Muhammed Fatih Yürük- Şeref Kabaoğlu- Mehmet Bozoğlu- Turgay Toksoy