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

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