Socrates Journal of Interdisciplinary Social Studies ISSN: 2757-5519

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ESTIMATING THE VOLATILITY OF STOCK MARKETS IN CASE OF FINANCIAL CRISIS
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Author : Gültekin GÜRÇAY    
Type :
Printing Year : 2020
Number : 6
Page : 1-6
Cite : Gültekin GÜRÇAY , (2020). ESTIMATING THE VOLATILITY OF STOCK MARKETS IN CASE OF FINANCIAL CRISIS. Socrates Journal of Interdisciplinary Social Researches, 6, p. 1-6. Doi: 10.51293/socrates.12.
    


Summary

In this paper, effects and responses of stock were analyzed. This analysis was done periodically. Thedimensions of the financial crisis impact on the stock market was investigated by GARCH model. In this context, S&P 500 stock market are modeled with DAX, NIKKEI and BIST100. In this way, the effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.



Keywords
Conditional variance coefficient, financial crisis,Garchmodel,stock market

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