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Abstract


An Empirical Application of an Asymmetric Stochastic Volatility Model to ISE100 Index
This study applies an asymmetric stochastic volatility (ASV) model to the ISE100 index by considering the 2007–2008 global financial crisis under the assumption of a lognormal distribution. The MCMC (Markov Chain Monte Carlo) algorithm based on a Bayesian approach is used to estimate the parameters of the ASV model. According to the results, the return volatility of the ISE100 index exhibits volatility persistence and leverage effect. Additionally, the model indicates that the global financial crisis of 2007–2008 mostly affects the leverage-effect parameter, implying that changes in the return of the ISE100 index more greatly influenced its volatility during the crisis. The findings contribute to the understanding of the volatility dynamics of the ISE100 index and the applicability of ASV models to Turkish financial markets.

Keywords
Asymmetric stochastic volatility model, ISE100 index, Bayesian approach.


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