This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions: Normal, Student-t, and skewed Student-t. The value-at-risk (VaR) values are calculated using the estimated models. The results indicate strong evidence of long memory in volatility. The evidence of long memory in volatility shows that uncertainty or risk is an important determinant of the behavior of daily futures prices in the Turkish futures market. The empirical results further indicate that based on the Kupiec LR failure rate test the FIGARCH(1,d,1) models with skewed Student-t distribution perform better than those of generated by normal distribution. JEL Classification: C53, G15.