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

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. © EuroJournals Publishing, Inc. 2009.