Modèls Garch à la mémoire longue: application aux taux de change tunisiens
[GARCH models : evidence from Tunisian Exchange market]
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28702.
Date of creation: Dec 2007
Date of revision: 2008
Publication status: Published in Euro-Mediterranean Economics and Finance Review 4.3(2008): pp. 106-122
Long memory; Volatility; persistence; exchange rate;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
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