Modelling the volatility with nonlinear time series on ISE-100 index

Investment rating in a best way and to protect the value of financial resources have always been a hot-button issue. Since political structure, sociological issues and time are the variables that effect the financial resources, the investors decision making is getting hard. The observed variations are named as volatility in the economy.The purpose in this study is to search the possible best modelling of financial information that is effected from time and psychological factors. In order to achieve this, non-linear time series models are examined since they are one of the best econometric methods that involves volatility.Istanbul Stock Exchange data, between the dates 02.01.1997 - 31.12.2008 are used to implement these models, because the data contains volatility besides they are flexible through time. During the implementation, Imkb 100 yield index is used and the most possible model is examined.