The volatility structure of financial time series in Turkey

In this study, our aim is to determine Turkey?s financial and macroeconomic volatility structure. For this purpose; first, variables that represent Turkey?s economy and financial structure are investigated for volatility and then the volatility modelling has been set for these variables. Furthermore, the stochastic volatility models which rarely use in literature because of the application difficulties but seem more robust against conventional volatility models are examined theoretically in this study. Besides, the asymmetric structure of ISE (Istanbul Stock Exchange) and inflation uncertainty is examined by using stochastic volatility model. The results show that Turkey?s economic and financial structure is volatile and also stock exchange market shows an asymmetric structure. Moreover, empirical findings indicate that an increase in inflation decreases uncertainty both in the short and long runs. However a shock to inflation volatility increases inflation in the long run, where its effect on inflation in the short run is limited.