Generalized autoregressive score (gas) model: An applied analysis on the BIST 100 index
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Tarih
2019
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Yayıncı
Peter Lang AG
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In general, volatility has been used as a parameter for measuring risk in the literature. However, there are various approaches to calculate risk. In this work, Generalized Autoregressive Score (GAS) model is introduced as a new technique to calculate down side risk of Borsa Istanbul BIST100 index in order to contribute relevant literature. © Peter Lang GmbH Internationaler Verlag der Wissenschaften Berlin 2019. All rights reserved.
Açıklama
Anahtar Kelimeler
BIST 100 Index, Down Side Risk, GAS Model, Tail Effect
