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We proposed a continuous time GARCH known as COGARCH(p,q) model for modeling the volatility of Turkish interest rates. COGARCH (p,q) models have been statistically proven successful in capturing the heavy-tail behaviour of the interest rates . We demonstrate the capabilities of COGARCH(p,q) model by using Turkish short rate. The Turkish Republic Central Bank's benchmark bond prices are used to calculate the short-term interest rates between the period of 15.07.2006 and 15.07.2008. COGARCH(1,1) model is chosen as best candidate model in modeling the Turkish short rate for the sample period.