Long Memory in Volatility: An Examination of Turkish Foreign Exchange Market

ÇETİN M. K., ER H.

14th World Business Congress, Granada, Spain, 10 - 14 July 2005, pp.422-427

  • Publication Type: Conference Paper / Full Text
  • City: Granada
  • Country: Spain
  • Page Numbers: pp.422-427
  • Akdeniz University Affiliated: Yes

Abstract

The objective of this paper is to analyze the long memory properties of Turkish foreign exchange rate volatility. To this end, volatilities of US$/TL rates are calculated. Then, the degree of fractional integration, d, is determined using the log of the volatility series. The long memory parameter is calculated using two different procedures: log-periodogram estimation and modified local whittle estimation. Our empirical results provide evidence in favor of long memory in foreign exchange return volatility.