SİGORTA SEKTÖRÜ HİSSE SENEDİ PİYASASINDA VOLATİLİTE MODELLEMESİ: ARCH-M YÖNTEMİ İLE BORSA İSTANBUL'DA BİR UYGULAMA.

In the financial sector, especially banking and insurance fields, there is a large literature covering a large number of modeling studies on decision making under uncertainty. Volatility needs to be well predicted in order to be able to take the necessary precautions against the unexpected events that may arise in the future and to model the risk. It is aimed to estimate the volatility or instability of each time series by applying the ARCH-M (ARCH in Mean) model to the time series obtained from the daily stock closing prices of the insurance companies listed in the Stock Exchange in the period 2000-2017 in the study. The predictability of stock return volatility in the Turkish insurance sector has been analyzed. It has been determined that the volatility movements observed in Anadolu Hayat Emeklilik A.?.-ANHYT and Ray Sigorta A.?.-RAYSG stocks were affected by the bond interest rate, Bist100 index and dollar exchange rate in the study period. [ABSTRACT FROM AUTHOR]