ÖZTÜRKLER, Harun Kirikkale Üniversitesi - iktisadi ve idari Bilimler Fakültesi - Ekonometri Bölümü, Turkey , YILDIRIM, Selim Anadolu Üniversitesi - iktisadi ve idari Bilimler Fakültesi - iktisat Bölümü, Turkey

A UNIVARIATE NONLINEAR MODEL OF THE RETURNS ON ISTANBUL STOCK EXCHANGE 100 INDEX

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Asymmetric behaviors are common in economics and finance. Since it is not possible to capture asymmetric behaviors by linear models, nonlinear models are developed in order to explain asymmetric behaviors exhibited by such time series. Findings in this study show that ISE 100 index’s behavior cannot be estimated by linear univariate models for the period after 2000. Therefore, it is our aim to construct and estimate nonlinear time series models of ISE 100 index. The results obtained also confirm that ISE 100 index exhibits nonlinear behavior.

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ISE 100 , nonlinear time series , univariate time series

Journal Of Economics and Administrative Sciences, Ataturk University

97