Interdependence of ISE 30 and Gold Spot, Natural Gas, Brent Oil: Copula-Garch Method

Ayse Metin Karakaş

Abstract


This paper aims to examine the relationship between ISE 30 and gold spot, natural gas and Brent Oil with the COPULA-GARCH method. In the study, we use closing prices of ISE 30 and Gold Spot, Brent Oil and Natural Gas. The results show that there is a weak dependence between ISE 30 and Brent Oil, Gold Spot but there is more strong between ISE 30 and Natural Gas.

Keywords


ISE 30, COPULA-GARCH, Gold Spot, Brent Oil, Natural Gas

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References


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DOI: https://doi.org/10.24203/ajas.v6i6.5577

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