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

Turhan Korkmaz, Emrah Çevik and Nesrin Özataç

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Long memory; structural breaks in variance; Figarch model (search for similar items in EconPapers)
JEL-codes: C22 C58 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

Published in International Research Journal of Finance and Economics 26 (2009): pp. 186-191

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71302

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