Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks

• Autorzy: Abderrazak Ben Maatoug , Rim Lamouchi , Russell Davidson , Ibrahim Fatnassi
• Języki publikacji: EN

Abstrakty

EN

In this study, we model realized volatility constructed from intra-day highfrequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. FromtheBai-Perrontest,wefoundstructuralbreakpointsthatmatch significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory. (original abstract)

Słowa kluczowe

EN

Stochastic Volatility Processes; Structural changes; Foreign Exchange (FX)

PL

Procesy zmienności stochastycznej; Zmiany strukturalne; Rynek walutowy

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2018
• Tom: 10
• Numer: nr 1
• Strony: 1--25

Twórcy

autor

Abderrazak Ben Maatoug

• University of Bisha and University of Tunis

autor

Rim Lamouchi

• University of Tunis

autor

Russell Davidson

• Centre de la Vielle Charité and McGill University

autor

Ibrahim Fatnassi

• University of Tunis

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