Firass Ali
Faculty of Economics and Administrative Sciences, Near East University, North Cyprus Mersin
Dr. Faisal FAISAL
Faculty of Business and Economics, Addul Wali Khan University, mardan KP Pakistan; Faculty of Economics and Administrative Sciences, Near East University, North Cyprus Mersin
Dr. Nil Gunsel Resatoglu
Faculty of Economics and Administrative Sciences, Near East University, North Cyprus Mersin
ABSTRACT
In this paper, we estimate the conditional volatility in the excess returns of the real estate investment trust index and Borsa Istanbul 100 index. Three models which are GARCH, EGARCH and GARCH-GJR to their daily excess return were applied and compared. Results showed that GARCH model fails to account for coefficient restrictions, asymmetry and leverage effect. EGARCH and GARCH-GJR succeed to encompass those limitations. Moreover, EGARCH is the most efficient model to estimate the conditional beta in this study.
Key words: GARCH; EGARCH; GARCH-GJR; Real Estate investment in Turkey (REIT).
