Abstract

Volatility which is an important indicator for the investors who invest in equity markets, keep a large area in finance literature. In this study, Generalized ARCH-type models (GARCH-EGARCH-TARCH) are applied to the daily closing prices of ISE Banks, ISE Industrial, ISE Services, ISE Wholesale and Retail Trade Indices. The analyzing period is between 2011 and 2014. The results indicate that; ISE sector indexes have ARCH effects with different ARMA(p,q) levels and the best fitting model for modeling the volatility of ISE Sector Indexes varies to sector.