Modèls Garch à la mémoire longue: application aux taux de change tunisiens

GARCH models: evidence from Tunisian Exchange market

Amine Lahiani and Ouidad Yousfi ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper deals with statistics�and econometrics�properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in�nite decrease of volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt (2002), the contributions of the FIGARCH model are extended by accounting for the observed kurtosis through a student-t based maximum likelihood estimation. This estimation improves the goodness of �t properties of this model and may lead to di¤erent interest parameters estimates.

Keywords: Long memory; Volatility; persistence; exchange rate (search for similar items in EconPapers)
JEL-codes: C13 C22 C52 F31 (search for similar items in EconPapers)
Date: 2007-12, Revised 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Euro-Mediterranean Economics and Finance Review 4.3(2008): pp. 106-122

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/28702/1/MPRA_paper_28702.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28702

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().