Panel GARCH modeling: a case of Istanbul Stock Exchange

In this paper panel data analysis, which became very popular in recent years, is applied to Istanbul Stock Exchange data. The dataset consists of daily prices of 20 Turkish stocks bargained at Istanbul Stock Exchange in a period 2000 ? 2005 and ISE National 100 daily index data in the same period. A dynamic panel model with random effects is fitted where the dependent variable is stock return series and explanatory variables are one-lagged stock return series and return series of ISE National 100 Index. Then it was found that error terms of dynamic panel model has GARCH effects so it was concluded in this paper that panel GARCH model fits Istanbul Stock Exchange data.