Arbeitspapier
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 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 975
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Economic Growth and Aggregate Productivity: General
- Thema
-
Fractional integration
long memory
exchange rates
volatility
Wechselkurs
US-Dollar
Volatilität
Zeitreihenanalyse
Kapitalertrag
Schätzung
USA
EU-Staaten
Japan
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Gil-Alana, Luis A.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2010
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