Estimating long memory in the mark–dollar exchange rate with high frequency data

Claudio Morana

Applied Financial Economics Letters, 2006, vol. 2, issue 6, 361-364

Abstract: FIGARCH models are estimated with data sets of daily and 30 minute returns on the Deutsche mark–US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for stochastic intradaily repetitive patterns.

Date: 2006
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DOI: 10.1080/17446540600690110

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