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http://hdl.handle.net/10419/36756
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| Title: | | Long memory and volatility dynamics in the US dollar exchange rate  |
| Authors: | | Caporale, Guglielmo Maria Gil-Alana, Luis A. |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion papers // German Institute for Economic Research 975 |
| Abstract: | | This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional integration framework such as Granger and Ding (1996), we estimate a more general model which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(d) model seem to be the most appropriate for the US dollar rate vis-à-vis the Euro and the Japanese Yen respectively. |
| Subjects: | | Fractional integration long memory exchange rates volatility |
| JEL: | | C22 O40 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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