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Abstract


Çok Değişkenli GARCH Modeli ile Sektör Endekslerinin Volatilitesinin Modellenmesi
The volatility spillover effect has always been an attractive issue for financial market participants. This research aims to investigate volatility spillover between two major sector indexes, namely BIST Financial and BIST Services of Borsa Istanbul by using a multivariate GARCH model. Granger causality and Hong’s causality tests were used to determining causal relation between them. Examining two major sector indexes from January 4, 2010, to July 24, 2018, the findings indicated that there was volatility spillover BIST Financial and BIST Services sector indexes. As for causality analyses, the volatility spillover between two sector indexes indicated bivariate causal relation in accordance with both the results of the Granger causality and Hong’s causality tests. The findings are of great importance for market participants and investors to make properly asset allocation and optimal portfolio management.

Keywords
Hong’s causality, DCC-GARCH model, volatility spillover, sec-tor indexes.


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