This study analyzes the long-term dependence in daily index "Return" and "Absolute Return" series of ISE National-All, National-100, National-30 and additionally 17 sectoral indices of Turkish stock market. Long-term dependence can be measured by a single Hurst (H) or relatedly the fractional differencing parameter (d). The data are analyzed by using four different parameter estimation methods namely Wavelet Based Estimation Method, Periodogram Based Estimation Method, Kettani-Gubner Methods for SOSS processes and FARIMA (0, d, 0) processes. For the return series; long-term dependence is not observed in ISE National-All, National-100 and National-30 data. Long-term dependence is also not found in 13 of 17 sectoral index return series. Remaining 4 sectoral indices namely XFINK, XTRZM, XTEKS and XYORT are found long-term dependent. For the absolute return series; long-term dependence is found in all of the index data.
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机译：本研究分析了ISE National-All，National-100，National-30和土耳其股票市场的17个行业指数的每日指数“收益”和“绝对收益”系列的长期依赖性。长期依赖性可以通过单个赫斯特（Hurst）或相关的分数微分参数（d）进行测量。通过使用四种不同的参数估计方法对数据进行分析，这些方法是基于小波的估计方法，基于周期图的估计方法，用于SOSS过程的Kettani-Gubner方法和FARIMA（0，d，0）过程。对于返回系列; ISE National-All，National-100和National-30数据中未观察到长期依赖性。在17个部门指数回报序列中的13个中也没有发现长期依赖关系。其余4个行业指数（即XFINK，XTRZM，XTEKS和XYORT）是长期依赖的。对于绝对收益系列;在所有索引数据中都可以找到长期依赖关系。
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