Modeling volatility of Turkish stock index futures

The thesis investigates the best fitting volatility model for the ISE-30 Index Futures traded at the Turkish Derivatives Exchange (TURKDEX). The daily settlement prices of the contracts are used for the period of 4 February 2005-31 March 2009. The entire sample period is classified as ?The Low Volatility Period? and ?The High Volatility Period. The EGARCH (1, 1) appears to be the best fitted volatility model for the sub-periods and the entire sample period. Furthermore, the conditional Standard deviations for all periods are forecasted and then, one-day and ten-days Value at Risk values are calculated.Keywords: EGARCH; Conditional Standard Deviation; Value at Risk