Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks - Aix-Marseille Université Access content directly
Journal Articles Central European Journal of Economic Modelling and Econometrics (CEJEME) Year : 2018

Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks

Abstract

In this study, we model realized volatility constructed from intra-day highfrequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. FromtheBai-Perrontest,wefoundstructuralbreakpointsthatmatch significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.
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Dates and versions

hal-01982032 , version 1 (11-02-2022)

Identifiers

  • HAL Id : hal-01982032 , version 1

Cite

Abderrazak Ben Maatoug, Rim Lamouchi, Russell Davidson, Ibrahim Fatnassi. Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. Central European Journal of Economic Modelling and Econometrics (CEJEME), 2018, 10 (1), pp.1-25. ⟨hal-01982032⟩
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