This study has investigated the impact of inflation and dollar exchange rate volatility of BIST 100 index on volatility. In the study CPI for the inflation series and central bank buying rate of dollar for the dollar series were extracted from Central Bank of the Republic of Turkey by keeping BIST 100 index values on monthly frequency. GARCH (1,1) model, being the most utilized one in calculation, was used to assess inflation and dollar exchange rate volatility depending on the fact that GARCH coefficients were statistically meaningful. The study has indicated that dollar exchange rate volatility reduced BIST 100 index volatility (had negative impact), whereas inflation volatility increased BIST 100 index volatility (had positive impact).
Primary Language | Turkish |
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Journal Section | Articles |
Authors | |
Publication Date | April 30, 2017 |
Submission Date | December 23, 2016 |
Published in Issue | Year 2017 Volume: 8 Issue: 1 |
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