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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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https://hal-amu.archives-ouvertes.fr/hal-01982032
Contributor : Elisabeth Lhuillier <>
Submitted on : Tuesday, January 15, 2019 - 1:47:52 PM
Last modification on : Wednesday, August 5, 2020 - 3:12:20 AM

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  • HAL Id : hal-01982032, version 1

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Abderrazak Ben Maatoug, Rim Lamouchi, Russell Davidson. 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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