Generalized autoregressive score (gas) model: An applied analysis on the BIST 100 index

Kahyaoğlu, Sezer Bozkuş2022-02-152022-02-15201997836317805729783631779866https://hdl.handle.net/20.500.14034/305In 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.eninfo:eu-repo/semantics/openAccessBIST 100 IndexDown Side RiskGAS ModelTail EffectGeneralized autoregressive score (gas) model: An applied analysis on the BIST 100 indexBook Chapter2172322-s2.0-85112599477N/A