Estimation of BİST 100 index with nonlinear time series

Financial values are influenced by political and social phenomena. This effect makes it difficult for investors to make decisions. Because the scale and amount of this effect; time, economic structure varies. These changes are defined as volatility. Volatility is a critical issue for the investor to consider before making an investment decision. The investment is inherently risky. This risk should be foreseeable. In order to make an investment decision, the risk must be at acceptable levels. The concept of volatility is a key concept for financial risks. The measurement and interpretation of volatility is therefore an important concept for the investor. The aim of this study is to understand volatility, which is a fact of financial data. The evaluation and understanding of the volatility of financial data is important for the investor at the decision stage. For this reason, BİST-100 data which is the best source of volatility can be observed. Data were modeled as ARCH, GARCH, EGARCH, GJR-GARCH, ARCH-M, GARCH-M, EGARCH-M, GJR-GARCH-M. In this thesis,