Long memory in the volatility of an emerging equity market: The case of Turkey
We use methods based on wavelets and aggregate series, which have gained growing acceptance in the finance literature, to test for long memory in the absolute value, squared, and log squared daily returns of the Istanbul Stock Exchange National 100 Index. Our results show that all three volatility series are characterized by long memory, indicating that shocks to the stock index volatility decay slowly and that distant observations of the series are associated with each other. There are several implications of our study for further research. First, models examining the volatility of the Turkish equity returns should include a long memory component in their parameter set. Second, tests should be conducted to assess whether such models result in an improvement in the volatility forecasts of the Turkish equity returns.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 18 (2008)
Issue (Month): 4 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/intfin|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
- Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
- Jensen, Mark J, 1999.
"Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter,"
39152, University Library of Munich, Germany.
- Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
- Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
- Epaminondas Panas, 2001. "Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 395-402.
- Cornelis A. Los & Jeyanthi Karuppiah, 2004.
"Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997,"
- Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
- Ray, Bonnie K & Tsay, Ruey S, 2000. "Long-Range Dependence in Daily Stock Volatilities," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 254-262, April.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Chambers, Marcus J, 1995.
"Long Memory and Aggregation in Macroeconomic Time Series,"
Economics Discussion Papers
2766, University of Essex, Department of Economics.
- Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-1072, November.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996.
"Long Memory in the Greek Stock Market,"
Boston College Working Papers in Economics
356., Boston College Department of Economics.
- repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:18:y:2008:i:4:p:305-312. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.