Testing for long memory in ISE using Arfima-Figarch model and structural break test

Korkmaz, Turhan and Cevik, Emrah Ismail and Özataç, Nesrin (2009): Testing for long memory in ISE using Arfima-Figarch model and structural break test. Published in: International Research Journal of Finance and Economics No. 26 (April 2009): pp. 186-191.

Abstract

This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility. Consequently, ISE is found as a weak form inefficient market due to volatility as it has a predictable component.

• Item Type: MPRA Paper
• Language: English
• Keywords: Long memory, structural breaks in variance, Figarch model
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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