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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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Submitted on : Friday, February 11, 2022 - 12:22:56 PM
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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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