Multifractal behaviors on exchange rate of world prominent economic countries correspond to Malaysia Ringgit

Nurulkamal Masseran and Muhammad Aslam Mohd Safari

Physica A: Statistical Mechanics and its Applications, 2025, vol. 671, issue C

Abstract: This study analyzes the multifractal properties of foreign exchange rates between the Malaysian Ringgit (MYR) and several major global economies, including the United States Dollar (USD), Chinese Yuan (RMB), Euro, Japanese Yen (JPY), Indian Rupee (INR), British Pound (GBP), Canadian Dollar (CAD), and South Korean Won (KRW). Using the methodologies of multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross-correlation analysis (MFDCCA), this study examines both individual and paired exchange rate time series. This study also assesses power-law characteristics of fluctuation functions, complexity, persistence, and variability in these exchange rates. The results indicate that the exchange rates for MYR/USD, MYR/RMB, MYR/GBP, and MYR/CAD demonstrate scale-invariant characteristics, suggesting the presence of a multifractal nature within these temporal series. In contrast, a large fluctuation in the MYR/EUR, MYR/JPY, MYR/KRW, and MYR/INR exchange rates are found to behave like a non-multifractal behavior. Asymmetry measures reveal that MYR/KRW and MYR/INR are more susceptible to short-term fluctuations, while MYR/USD and MYR/CAD are predominantly influenced by longer-term trends. Generalized Hurst exponent (GHE) plots reveal varying cross-correlation patterns, with majority of the exchange rate pairs reflecting pronounced cross-multifractal behavior. Certain pairs, including MYR/USD–MYR/CAD, MYR/USD–MYR/GBP, MYR/RMB–MYR/GBP, MYR/RMB–MYR/CAD, and MYR/GBP–MYR/CAD indicate a weaker degree of multifractal properties in their cross-relations. This study contributes to the comprehension of exchange rate dynamics, offering valuable insights into the associated risks and volatilities of various currency pairs.

Keywords: Exchange rate; Cross-correlation; Dynamic behaviors; Multifractal (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:671:y:2025:i:c:s0378437125003413

DOI: 10.1016/j.physa.2025.130689

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