ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Due to technological advances, stocks and commodity markets have become single market. There is a high degree of volatility among the stock markets especially opening in the same time frame. In this study, the volatility between Turkey, Romania, Poland, Hungary and Ukrainian stock market was examined by using the VAR (1) M-GARCH model. Before applying the VAR (1)-M-GARCH model, it was tried to be determined by using the Johansen Cointegration method based on the maximum likelihood method whether there is a long-run relationship between stock exchanges. A long-run relationship was determined among the stock market according to the Johansen Cointegration test. The volatility of stock exchange volatility is examined with the using VAR (1) -M-GARCH-BEKK model. As a result of the findings, the conditional variance of the Turkey (BIST-100) is affected by its short-run shocks and long-run volatility as well as the short-run shocks and the long-run volatility that have occurred in the Poland and Hungary stock markets. In addition, the conditional variance of the Turkey is affected by the long-run volatility of the Romanian stock market