Abdul-Rahman, MutawakilKhan, Asad ul IslamKaplan, MuhittinYönetim Bilimleri Fakültesi, İktisat Bölümü2024-11-252024-11-252024Abdul-Rahman, M., Khan, A. I. ve Kaplan, M. (2024). Beyond GARCH: Intraday insights into the exchange rate and stock price volatility dynamics in Borsa Istanbul sectors. FWU Journal of Social Sciences, 18(3), 1-13. https://www.doi.org/10.51709/19951272/Fall2024/11995-1272https://www.doi.org/10.51709/19951272/Fall2024/1https://hdl.handle.net/20.500.12154/3093This study investigated the impact of exchange rate volatility on sectoral stock volatility by employing the intraday volatility measure directly calculated from the original data, using daily data from 27 Borsa Istanbul sectors between April 29, 2003, and April 25, 2023. In the literature, GARCH models are commonly used to study the volatility spillovers between exchange rates and stock prices, typically using aggregate data. However, the GARCH family models provide inefficient and biased estimates if they are misspecified. Moreover, using aggregate-level data may lead to biased and misleading conclusions. The research used intraday volatility measures to overcome the shortcomings of GARCH models. The ordinary least squares (OLS), GARCH (1,1) methods, and Garman and Klass (1980) volatility estimator are used. The empirical results showed that the estimates from each method vary significantly, and these disparities in the results might be due to misspecification in GARCH (1,1) models. The intraday volatility model estimation results showed that although stock price volatilities in all sectors are positively and significantly affected by exchange rate volatility, their magnitudes vary significantly. Taken together, this implies the presence of vast heterogeneities in the responses of sectoral stock price volatilities to exchange rate volatility. The results encourage policymakers to pay special attention to these heterogeneities to prevent capital flights and underinvestment. Additionally, the findings assist investors in making more effective decisions by helping them adapt their investment strategies to factor in exchange rate fluctuations and mitigate the impact of unexpected events in the exchange rate market.eninfo:eu-repo/semantics/openAccessExchange Rate VolatilityGARCHStock PricesTürkiyeArticle18311310.51709/19951272/Fall2024/12-s2.0-85207474163Q2