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Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates

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  • DIAF, Sami

Abstract

This paper deals with a special class of multifractal models called the Multifractal Random Walk which has been widely used in finance because of its parsimonious framework, featuring many properties of financial data not considered in traditional linear models. Using the log-normal version, results confirm the Algerian Dinar is a multifractal process and has a rich wider variation spectrum versus the US Dollar than the Euro.

Suggested Citation

  • DIAF, Sami, 2015. "Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates," MPRA Paper 67619, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:67619
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    File URL: https://mpra.ub.uni-muenchen.de/67619/2/MPRA_paper_67619.pdf
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    References listed on IDEAS

    as
    1. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
    2. DIAF, Sami & TOUMACHE, Rachid, 2013. "Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate," MPRA Paper 50701, University Library of Munich, Germany.
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    More about this item

    Keywords

    multifractal processes; stochastic volatility;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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