Öz
In the literature, it is argued that negative shocks have an asymmetric volatility effect on stock indices. In this study, BIST Liquid Bank Index (XLBNK), BIST Liquid 10 Ex Banks Index (X10XB) and index futures contracts between 20 December 2019 and 30 September 2022 the daily closing prices were used. The main purpose of the study is to examine the asymmetric volatility effect of the COVID 19 pandemic on spot stock indices with GARCH type models and to evaluate the analysis results. Application results showed that the COVID 19 pandemic (negative shocks) had no asymmetric volatility effect on spot stock indices. However, it has been concluded that the shocks of the past period cause persistence on the volatility of the spot stock indices.