Long memory and volatility dynamics in the US dollar exchange rate
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Centre for International Capital Markets, London Metropolitan University
2010
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| Online Access: | https://repository.londonmet.ac.uk/412/1/CentreForInternationalCapitalMarketsDiscussionPapers_2010-03_p01-38.pdf |
| _version_ | 1804071523169861632 |
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| author | Caporale, Guglielmo Maria Gil-Alana, Luis A. |
| author_facet | Caporale, Guglielmo Maria Gil-Alana, Luis A. |
| author_sort | Caporale, Guglielmo Maria |
| collection | LMU |
| description | 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. |
| first_indexed | 2024-07-09T03:44:36Z |
| format | Article |
| id | oai:repository.londonmet.ac.uk:412 |
| institution | London Metropolitan University |
| language | English |
| last_indexed | 2024-07-09T03:44:36Z |
| publishDate | 2010 |
| publisher | Centre for International Capital Markets, London Metropolitan University |
| record_format | eprints |
| spelling | oai:repository.londonmet.ac.uk:4122015-04-20T09:32:30Z http://repository.londonmet.ac.uk/412/ Long memory and volatility dynamics in the US dollar exchange rate Caporale, Guglielmo Maria Gil-Alana, Luis A. 330 Economics 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. Centre for International Capital Markets, London Metropolitan University 2010 Article NonPeerReviewed text en https://repository.londonmet.ac.uk/412/1/CentreForInternationalCapitalMarketsDiscussionPapers_2010-03_p01-38.pdf Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Long memory and volatility dynamics in the US dollar exchange rate. Centre for International Capital Markets discussion papers, 2010 (03). pp. 1-38. ISSN 1749-3412 http://www.londonmet.ac.uk/media/london-metropolitan-university/london-met-documents/faculties/guildhall-faculty-of-business-and-law/cicm/CICM-DP-2010-03.pdf |
| spellingShingle | 330 Economics Caporale, Guglielmo Maria Gil-Alana, Luis A. Long memory and volatility dynamics in the US dollar exchange rate |
| title | Long memory and volatility dynamics in the US dollar exchange rate |
| title_full | Long memory and volatility dynamics in the US dollar exchange rate |
| title_fullStr | Long memory and volatility dynamics in the US dollar exchange rate |
| title_full_unstemmed | Long memory and volatility dynamics in the US dollar exchange rate |
| title_short | Long memory and volatility dynamics in the US dollar exchange rate |
| title_sort | long memory and volatility dynamics in the us dollar exchange rate |
| topic | 330 Economics |
| url | https://repository.londonmet.ac.uk/412/1/CentreForInternationalCapitalMarketsDiscussionPapers_2010-03_p01-38.pdf |
| work_keys_str_mv | AT caporaleguglielmomaria longmemoryandvolatilitydynamicsintheusdollarexchangerate AT gilalanaluisa longmemoryandvolatilitydynamicsintheusdollarexchangerate |