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Dépendance de court et de long terme des rendements de taux de change

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  • Christelle Lecourt
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    [fre] Dépendance de court et de long terme des rendements de taux de change . par Christelle Lecourt . Dans cet article, nous estimons un modèle ARFTMA-GARCH introduit par Baillie, Bollerslev et Mikkelsen (1996) pour les quatre principaux rendements quotidiens de taux de change. Notre principale contribution est de tenir compte non seulement des effets ARCH à travers une modélisation GARCH mais aussi de la kurtosis présente dans les séries en choisissant la distribution de Student plutôt que la distribution normale. Les résultats obtenus révèlent que la plupart des séries de rendements de taux de change ont une faible mémoire longue. Ces résultats ont des implications économiques importantes. Tout d'abord, cela devrait permettre d'améliorer les prévisions de rendements. En second lieu, cela signifie que l'hypothèse d'efficience du marché au sens faible n'est pas vérifiée. [eng] Short- and Long-Run Dependence of Exchange Rate Returns by Christelle Lecourt . In this paper, we estimate an ARFIMA-GARCH model as introduced by Baillie, Bollerslev and Mikkelsen (1996) for the four leading daily exchange rate returns. Our main contribution is to take account of ARCH effects using a GARCH model and to consider the kurtosis in the series by opting for a Student distribution rather than a normal distribution. The results obtained show that most of the exchange rate return series have a poor long-run memory. The economic implications of these findings are considerable. Firstly, they should help improve forecasts of returns. Secondly, they imply that the efficient market (in the weak sense) hypothesis does not hold.

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    Bibliographic Info

    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 146 (2000)
    Issue (Month): 5 ()
    Pages: 127-137

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6132

    Note: DOI:10.3406/ecop.2000.6132
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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    1. Joseph G. Haubrich, . "Consumption and Fractional Differencing: Old and New Anomalies," Rodney L. White Center for Financial Research Working Papers 26-89, Wharton School Rodney L. White Center for Financial Research.
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    16. repec:wop:humbsf:1994-46 is not listed on IDEAS
    17. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
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    Cited by:
    1. Michel Beine & Sébastien Laurent, 2003. "Central Bank interventions and jumps in double long memory models of daily exchange rates," ULB Institutional Repository 2013/10435, ULB -- Universite Libre de Bruxelles.

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