On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange

Abstract

This paper analyses long memory properties of Istanbul Stock Exchange Market (ISE) National 100 daily dollar index returns, absolute and squared returns. Both parametric FIGARCH models and nonparametric methods are employed. Results indicate that, contrary to empirical evidence on some other emerging capital markets, daily returns do not possess long memory characteristics, however, similar to developed equity markets, evidence is provided of long memory dynamics in the conditional variance which can be modelled adequately by a FIGARCH model.

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