Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard T.; Cecen, A Aydin; Erkal, Cahit; Han, Young Wook

doi:10.1016/j.intfin.2003.12.002

“…In contrast to the FIGARCH model, the HYGARCH allows to combine the desired properties of hyperbolically decaying impulse response coefficients and covariance stationarity. 3 Finally, we would like to point out that -under a small modification -it is possible to obtain a covariance stationary HYGARCH process even if τ > 1. We call the new specification a generalized 6 HYGARCH model.…”

Section: Figarch Implies the Arch(∞) Representationmentioning

confidence: 99%

Non-negativity conditions for the hyperbolic GARCH model

Conrad

¹

2010

Journal of Econometrics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Finally, we analyze the effects of erroneously fitting a FIGARCH model to a data sample which was truly generated by a HYGARCH process. An empirical application of the HYGARCH(1, d, 1) model to daily NYSE data illustrates the importance of our results. Terms of use: Documents in

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“…The long-range dependence of exchange rate changes has been found in the literature (Booth et al (1982), Hsieh (1989), Cheung (1993), Peters (1994), Batten and Ellis (1996), Baillie et al (2004) and Jin et al (2006)). Cheung (1993) finds evidence of a long-term dependence in British pound, Deutsche mark, French franc and Japanese yen.…”

Section: Introductionmentioning

confidence: 82%

Long‐term Dependence in Asian Foreign Exchange Markets

Hsieh

¹

,

Shyu²

2009

Journal of Asia Business Studies

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w e investigate the long-term dependency behavior of asian foreign exchange markets by using rescaled range analysis. emerging markets in korea, taiwan, india, and thailand, show evidences of long memory in the exchange rate return series, while the exchange rate return persistence is not found in more developed and mature markets in japan, australia, hong kong, and singapore. our results suggest that the return-generating processes and presence of long memory depends on the degree of market development. in addition, the findings suggest that asian financial crisis affects long-term dependences of korean won and thai baht in which their economies and currency were hard hit by the crisis.

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“…the IGARCH(1, 1) process will be strictly stationary and ergodic provided that E[ln(α 1 Z 2 t + β 1 )] < 0 (see Nelson, 1990). 3 Karanasos et al (2004) point to an alternative modification of the FIGARCH which also specifies a covariance stationary ε t process. In analogy to the ARFIMA model for the mean, they construct their long memory GARCH (LMGARCH) process such that the fractional differencing operator is applied to the "demeaned" squared innovations, i.e.…”

Section: Endnotesmentioning

confidence: 99%

Non-Negativity Conditions for the Hyperbolic GARCH Model

Conrad

¹

2007

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Finally, we analyze the effects of erroneously fitting a FIGARCH model to a data sample which was truly generated by a HYGARCH process. An empirical application of the HYGARCH(1, d, 1) model to daily NYSE data illustrates the importance of our results. Terms of use: Documents in

show abstract

Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Cited by 20 publications

References 31 publications

Non-negativity conditions for the hyperbolic GARCH model

Non-negativity conditions for the hyperbolic GARCH model

Long‐term Dependence in Asian Foreign Exchange Markets

Non-Negativity Conditions for the Hyperbolic GARCH Model

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