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Research On Long Memory Of Exchange Rate Return And Volatility

Posted on:2013-07-20Degree:MasterType:Thesis
Country:ChinaCandidate:H Q YueFull Text:PDF
GTID:2269330425960802Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Along with the mutual infiltration and influence of international financial activities,the interdependency degree between financial markets over the world also graduallyincreases. As the economic bridge connecting economy between abroad and in,exchange rate therefore becomes important. Though long memory property research hasbecome a hot topic, most researches mainly focuses on capital market. Considering theexistence of long memory property will directly affect the effectiveness of the foreignexchange market and long memory property in exchange rate volatility may make aneffect on exchange rate future changes and foreign exchange intervention and with thedevelopment of Chinese economy and product competitiveness in the internationalmarket, the CNY becomes the highlight around the world. Therefore, research on thelong memory property of CNY should do practice combined with theory, not only hasimportant theoretical significance but also provides a new angle of view for tracing theCNY behavior characteristics and formulating relevant foreign exchange policies.In this paper, it firstly made a comprehensive review and summary on longmemory test methods and models. Secondly it explained and analyzed long memorycharacteristics and its models. Thirdly it formulated long memory test on the return andthe volatility of CNY/USD and EUR/USD by using the test mathods such as R/Sanalysis method, V/S analysis method and wavelet analysis of variance, at the sametime made a comparative study of superiority between R/S analysis and V/S analysismethod. Finally, it constructed long memory return and volatility models such asARFIMA and FIGARCH on CNY/USD and then made an application withrecommending corresponding policies.The results show that the CNY/USD return really exists long memorycharacteristics, while the EUR/USD return does not, both of two exchange ratevolatilities has significant long memory characteristic, but the CNY/USD volatilities`non-periodic cycle days is longer than that of EUR/USD; for the long memory modelconstruction and application, the application effect of models considering their longmemory property showes better.
Keywords/Search Tags:Long memory characteristics, Return, Volatility, V/S, ARFIMA, FIGARCH
PDF Full Text Request
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