An Empirical Analysis Of Asymmetric Effects, Structural Breaks And Long Memory: Evidence From The Volatility Of Turkish Stock Market
In this study, long memory and asymmetry properties in volatility of Turkey Stock Market are examined by using the FIGARCH, FIEGARCH and FIAPARCH models under different distribution assumptions as Normal and Skewed Student-t for the period 1990-2015. Furthermore, structural changes in volatility of Turkey Stock Market are investigated. The findings of the study display long memory property and the presence of asymmetric effects of shocks in volatility of Turkey Stock Market.
Keywords- Asymmetric Effect, Structural Break, FIAPARCH Model, FIEGARCH Model, FIGARCH Model.