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Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series

Author

Listed:
  • Pekkaya, Mehmet

    (Bulent Ecevit University)

Abstract

In this study, integration degrees of monthly logarithmic return series of ISE100 Index, interest rate, and exchange rate basket, are estimated for last 60 months by using monthly time series of 2002-2012. According to the results of the analysis, FI degrees at 24 month period between 2008-2009 years, when USA based global mortgage crises was effected, the average of FI degrees in the following 36 months period, their statistical significance prominently increased in all series. In spite of the improvement in integration degrees, average value of last 36 month FI degrees of ISE100 series are even at low values and weak in terms of statistically significance. Even if estimated FI values of ISE100 Index and interest rate are weak in terms of statistically significance, these series sometimes have the long memory properties. Then, it cannot be wrong to accept interest rate and especially ISE100 Index behave with respect to short term dynamics. However, exchange rate series for the same period has the evident properties of medium memory FI degree with -0.23117.

Suggested Citation

  • Pekkaya, Mehmet, 2013. "Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 4(2), pages 1-91, April.
    • Handle: RePEc:ris:buecrj:0121
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    More about this item

    Keywords

    Fractional integration; FI parameter; financial time series;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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