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

被引：0

作者：

Ben Maatoug, Abderrazak ^{[1
,2
]}

Lamouchi, Rim ^{[2
]}

Davidson, Russell ^{[3
,4
]}

Fatnassi, Ibrahim ^{[2
]}

机构：

[1] Univ Bisha, Bisha, Saudi Arabia

[2] Univ Tunis, Tunis, Tunisia

[3] Ctr Vielle Charite, Marseille, France

[4] McGill Univ, Montreal, PQ, Canada

来源：

CENTRAL EUROPEAN JOURNAL OF ECONOMIC MODELLING AND ECONOMETRICS | 2018年 / 10卷 / 01期

关键词：

foreign exchange markets; realized volatility; high-frequency data; long memory; structural change;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study, we model realized volatility constructed from intra-day high-frequency 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. From the Bai-Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.

引用

页码：1 / 25

页数：25

共 85 条

[41] EXPECTED STOCK RETURNS AND VOLATILITY [J].