Estimation of Volatility Interaction Between Fear Index (VIX) and BIST 100 and BIST 30 Indices with CCC-GARCH Model
Chapter from the book:
Kılıç,
E.
(ed.)
2023.
Theoretical and Empirical Studies on Money and Capital Markets.
Synopsis
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.
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Copyright (c) 2023 Ethem Kılıç; Yasemin Ezin- Yunus Baydaş- Kudbeddin Şeker- Mehmet Bükey- Uğur Çoban- Yunus Emre Karaca- Ahmet Melik Sahabi- Mahmut Uçaktürk- Yavuz Türkkan- Mustafa Naimoğlu- Emine Kaya- Ömer Kaya- Zelal Gültekin Kutlu- Müslüm Polat- Yusuf Güngör