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Modèls Garch à la mémoire longue: application aux taux de change tunisiens
[GARCH models : evidence from Tunisian Exchange market]

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  • Lahiani, Amine
  • Yousfi, Ouidad

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.

Suggested Citation

  • Lahiani, Amine & Yousfi, Ouidad, 2007. "Modèls Garch à la mémoire longue: application aux taux de change tunisiens [GARCH models : evidence from Tunisian Exchange market]," MPRA Paper 28702, University Library of Munich, Germany, revised 2008.
    • Handle: RePEc:pra:mprapa:28702
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Long memory; Volatility; persistence; exchange rate;

    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; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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