ESTIMATING THE VOLATILITY OF STOCK MARKETS IN CASE OF FINANCIAL CRISIS


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Authors

  • Dr. Gültekin GÜRÇAY

DOI:

https://doi.org/10.51293/socrates.12

Keywords:

Conditional variance coefficient, financial crisis, Garchmodel, stock market

Abstract

In this paper, effects and responses of stock were analyzed. This analysis was done periodically. Thedimensions of the financial crisis impact on the stock market was investigated by GARCH model. In this context, S&P 500 stock market are modeled with DAX, NIKKEI and BIST100. In this way, the effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.

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Published

2020-05-10

How to Cite

GÜRÇAY, D. G. (2020). ESTIMATING THE VOLATILITY OF STOCK MARKETS IN CASE OF FINANCIAL CRISIS. Socrates Journal of Interdisciplinary Social Studies, 6, 1–6. https://doi.org/10.51293/socrates.12

Issue

Vol. 6 (2020): Socrates Journal

Section

Articles

License

Copyright (c) 2020 Socrates Journal of Interdisciplinary Social Studies

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.