Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks

Abderrazak Ben maatoug (), Rim Lamouchi, Russell Davidson and Ibrahim Fatnassi
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Rim Lamouchi: Université de Tunis
Ibrahim Fatnassi: Université de Tunis

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Abstract: In this study, we model realized volatility constructed from intra-day highfrequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. FromtheBai-Perrontest,wefoundstructuralbreakpointsthatmatch significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.

Date: 2018
Note: View the original document on HAL open archive server: https://amu.hal.science/hal-01982032
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Published in Central European Journal of Economic Modelling and Econometrics (CEJEME), 2018, 10 (1), pp.1-25

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Journal Article: Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01982032

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