Wavelet based fractional integrated stability analysis and volatility models in risk premium indicators of Turkey

The countries showing sustained and steady development of the last 30 years which closely associated with the rapid spread of financial instruments and financial markets, has export to state a large amount of securities in the international market. However, in risk indicators of country have started to be recorded significant fluctuations. The volatility models developed with the purpose of obtaining more precise and efficient estimates about these fluctuations in capital flows are developed with mathematical transformation in recent years. By this way in study have been considered wavelet based fractional integrated stability analysis and volatility models based on with a new approach of wavelet theory. Firstly, the risk indicator values of Turkey have been identified classical long memory structure and asymmetric affects in volatility model on a daily basis between years of 2013 – 2015. Later, wavelet based fractional integrated stability analysis and asymmetric effect of volatility models for each scale band is analyzed in detail based on wavelet decomposition. It was found more effective long memory structure and asymmetric structure of volatility estimates based on wavelet decomposition in the last part of the study. Keywords: Financial Time Series, Volatility Models, Long Memory Models, Wavelet Theory