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This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management