By using the daily values of USD-TL and Euro-TL denominated European call and
put option contracts, which are traded in the over-the-counter market, this study
investigates whether there is a significant difference among the premiums of the contracts
forecasted by historical volatility, EWMA(l =0.94 andl =0.97), GARCH(1,1) and EGARCH(
p, q) models. In order to test the significance of the difference among particular
volatility series forecasted by these different methods, test techniques suggested by Diebold
and Mariano (1995) and West (1996) are used.
Accordingly, the findings indicate that the differences in the pricing of the USD-TL
and Euro-TL denominated call-put option contracts are statistically significant for some
volatility forecasting methods
