Prévision ARFIMA des taux de change: les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?

Sandrine Lardic () and Valérie Mignon ()

Annals of Economics and Statistics, 1999, issue 54, 47-68

Abstract: The purpose of this paper is to perform predictions of foreign exchange rates series by taking into account their long-term memory property. To this end, this paper proposes the use of ARFIMA processes in order to make predictions of three exchange rate series: $/Canadian $, $/French Franc and $/Italian Lira. Obtained results suggest that ARFIMA predictions generally outperform naïve predictions issued from random walk process.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1999:i:54:p:47-68

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