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In this study, asymmetric long memory property in volatility of the Turkey Stock Market has been examined. For this purpose, the study contributes applications of long memory volatility models which take into account asymmetry property in finance literature. Firstly, FIGARCH model has been estimated to describe dynamics of symmetric long memory in volatility of Turkey Stock Market. Secondly, asymmetric response of volatility to good-bad news has been investigated by using EGARCH model. Finally, the presence of asymmetric volatility with the long memory process has been evaluated by using FIEGARCH model. The study provides important findings for investors and market participants. The results display long term persistence and the presence of asymmetric effects of shocks in volatility of Turkey Stock Market.

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