A Research on Long Memory of Volatility and Return in the Gold Market in Turkey

Abstract

In this study, Monthly Weighted Average Gold Price (US $ / ons) of Istanbul Gold Exchange Market for 2005-2018 period in Turkey are used. The volatility in gold prices has been estimated by GARCH type models, the long memory characteristics on the return and the volatility of gold prices have been investigated with ARFIMAFIGARCH type models.