The aim of this study is tomodelsteelprice returns by Lévyprocess.The dailyLMESteelBillets Spot Pricesbetween 04.01. 2010and 31.10.2011are analyzedand AR[1]~GARCH[1,1] discrete model is foundto be the best candidate takingall indicators into account. Then the continuous analogue of the discrete model isderived from the discrete model parameters.During the overall study, time(pathwise), distributional and spectral analysis performed.Finally, it is shown thatthe volatility simulated from both discrete and continuous modelsshows similarvolatility patterns. The results of the study could be utilized to predict thebehavior of future steel prices’ moves. In addition, the finding could be agoodreference specialist andresearcherswho are interested in steel market.