FORECASTING OF VOLATILITY IN STOCK EXCHANGE MARKETS BY MS-GARCH APPROACH: AN APPLICATION OF BORSA ISTANBUL

The volatility observed in securities markets has an important influence on the decision making processes of stock market stakeholders. In this study, volatilities BIST100 index which represents Borsa Istanbul was analyzed. For purpose, closing data for period 03.01.1988-20.04.2018 used study. analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low regimes. As a result triple MS-GARCH intensive analysis, existence endogenous regimens determined, coefficients considered were statistically significant. When possibilities transitions are analyzed, it is determined that probability continuing standard 0.62, transition to 0.23 0.145. Moreover, passage 5 20 days very close each other.