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Evaluation of Long Memory on the Malaysia Exchange Rate Market

Atikullah Ibrahim*, Siti Aida Sheikh Hussin, Zalina Zahid and SitiShalizaMohd Khairi
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Atikullah Ibrahim*: Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selango
Siti Aida Sheikh Hussin: Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selangor
Zalina Zahid: Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selangor
SitiShalizaMohd Khairi: Department of Statistics and Decision Sciences, Faculty of Computer and Mathemat

The Journal of Social Sciences Research, 2018, 653-656 Special Issue: 6

Abstract: This research evaluates the presence of long memory or long-term dependence on the Malaysian exchange rate. Daily, weekly and monthly data are evaluated against the US dollar (USD) covering from January 2005 to March 2018. Evaluation of long memory is based on the Geweke and Porter-Hudak estimation and the Maximum Likelihood Estimation. The result suggests the presence of long memory on all the daily, weekly and monthly data. Results show that shock on the Malaysian exchange rate persist longer than expected. The forecast capability also concludes that addition of the long memory presence from ARIMA model to ARFIMA model could improve the model forecast.

Keywords: Maximum likelihood; Geweke and porter hudak estimation; ARIMA; ARFIMA. (search for similar items in EconPapers)
Date: 2018
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