Abstract:

In this study, we investigated the characteristics of Turkey's CDS premiums for the period 2010 – 2020 as a financial time series with parametric and semi-parametric preliminary tests. We investigated weak form market efficiency and fractal market characteristics with the help of asymmetric dual long memory models. According to the results of the ARMA-FIGARCH, ARFIMA-FIGARCH and ARFIMA-FIAPARCH models, consistent with preliminary tests, we determined features close to short memory in the change Series and features of long-term memory in the volatility series. We determined that the models in which structural breaks are included in the variance equation affect the volatility at the 10% significance level. Turkey’s CDS market structure to emerge in the foreseeable volatility, is inconsistent with the efficient market hypothesis. The credit default swap market has a fractal structure. The fact that volatility in Turkey's credit default swap market is predictable contradicts the effective market hypothesis. The credit default swap market shows fractal characteristics.

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