IDEAS home Printed from https://ideas.repec.org/a/ris/eaerev/0091.html
   My bibliography  Save this article

Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model

Author

Listed:
  • Han, Young Wook

    (Hallym University)

Abstract

This paper explores the issue of structural breaks and long memory property in the conditional variance process of the Korean exchange rates. To analyze the above in detail, this paper examines the dynamics of the structural breaks and the long memory in the conditional variance process of the Korean exchange returns by using the daily KRW-USD and KRW-JPY exchange rates for the period from 2000 through 2007. In particular, this paper employs the Adaptive FIGARCH model of Baillie and Morana (2009) which account for the structural breaks and the long memory property together. This paper also finds that the new Adaptive FIGARCH model outperforms the usual FIGARCH model of Baillie et al. (1996) when the structural breaks are present and that the long memory property in the conditional variance process of the Korean exchange returns is significantly reduced after the structural breaks are accounted for. Thus, these results suggest that the upward biased long memory property observed in the conditional variance process of the Korean exchange returns could partially have been imparted as a result of neglecting the structural breaks.

Suggested Citation

  • Han, Young Wook, 2011. "Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 15(2), pages 33-59, June.
    • Handle: RePEc:ris:eaerev:0091
    DOI: 10.11644/KIEP.JEAI.2011.15.2.229
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.11644/KIEP.JEAI.2011.15.2.229
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.11644/KIEP.JEAI.2011.15.2.229?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Daily Korean Foreign Exchange Rates; FIGARCH Model; Adaptive FIGARCH Model; Long Memory Property; Structural Breaks;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:eaerev:0091. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: JE Lee (email available below). General contact details of provider: https://edirc.repec.org/data/kieppkr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.