 Dépendance de court et de long terme des rendements de taux de changeChristelle Lecourt Working Papers from Université de Lille 2 (France) Faculté des Sciences juridiques, politiques et sociales de Lille Abstract: In this paper, we estimate ARFIMA-GARCH models introduced by Baillie et al. (1996) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). We extend the former contributions by accounting for the observed conditional heteroskedasticity and kurtosis respectively through a GARCH process and a Student-t based maximum likelihood estimation. Our estimations suggest that most of exchange rate returns exhibit a short - and long-memory behavior. We can conclude that the exchange rate dynamics are more complex than implied by a random walk. These results have important economic and statistical implications. First, the returns forecasts should be improved. Second, differencing the data in order to have stationnarity is not statistically appropriate. Keywords: Dynamique de taux de change; ARFIMA-GARCH; mémoire longue; hétéroscedasticité; kurtosis. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:lil:lilcll:990609 Access Statistics for this paper More papers in Christelle Lecourt Working Papers from Université de Lille 2 (France) Faculté des Sciences juridiques, politiques et sociales de Lille Chemin de Bertrandfontaine,4 4570 Marchin Belgium. Contact information at EDIRC. |
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