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

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  • Christelle Lecourt

    (Université de Lille 2 (France) Faculté des Sciences juridiques, politiques et sociales de Lille)

Abstract

In this paper, we estimate ARFIMA-GARCH models introduced by Baillie et al. (1996) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). We extend the former contributions by accounting for the observed conditional heteroskedasticity and kurtosis respectively through a GARCH process and a Student-t based maximum likelihood estimation. Our estimations suggest that most of exchange rate returns exhibit a short - and long-memory behavior. We can conclude that the exchange rate dynamics are more complex than implied by a random walk. These results have important economic and statistical implications. First, the returns forecasts should be improved. Second, differencing the data in order to have stationnarity is not statistically appropriate.

Suggested Citation

  • Christelle Lecourt, 1999. "Dépendance de court et de long terme des rendements de taux de change," Christelle Lecourt Working Papers 990609, Université de Lille 2 (France) Faculté des Sciences juridiques, politiques et sociales de Lille.
    • Handle: RePEc:lil:lilcll:990609
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    Cited by:

    1. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
    2. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
    3. Pourakin Djarius Dieudonné BAMA, 2020. "Portfolio Management on an Emerging Market: Dynamic Strategy or Passive Strategy?," Business and Management Studies, Redfame publishing, vol. 6(2), pages 1526-1526, December.

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    More about this item

    Keywords

    Dynamique de taux de change; ARFIMA-GARCH; mémoire longue; hétéroscedasticité; kurtosis.;
    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
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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