Assist. Prof. Ali Çelik from the Department of International Trade and Logistics article titled "VOLATILITY OF BIST 100 RETURNS AFTER 2020, CALENDAR ANOMALIES AND COVID -19 EFFECT" was published in the August issue of BRSA Banking and Financial Markets Journal. The aim of the study is to test the volatility level of the return series calculated over BIST 100 closing values between 01.01.2020 and 11.02.2021 with ARCH-GARCH type models. In addition, the impact of calendar anomalies and COVID-19 on volatility will be tested in these models.
The results show that the EGARCH (3,3) model is the best performing model. Accordingly, it is concluded that the Friday anomaly, public holidays and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase volatility movements, and consequently create asymmetric and leverage effects.
