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

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.

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Year of publication:	2009
Authors:	Korkmaz, Turhan ; Cevik, Emrah Ismail ; Özataç, Nesrin

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	C22 - Time-Series Models ; c58
Source:	BASE

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