ANALYSIS OF LONG-TERM MEMORY IN VOLATILITY OF EXCHANGE RATE BY FIGARCH MODEL WITH NIG ERROR

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PARHAM GHOLAM ALI; MASJEDI PARISA

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Journal: JOURNAL OF STATISTICAL SCIENCES Year:2014 | Volume:7 | Issue:2 Page(s): 151-168

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Title

ANALYSIS OF LONG-TERM MEMORY IN VOLATILITY OF EXCHANGE RATE BY FIGARCH MODEL WITH NIG ERROR

Author(s)

PARHAM GHOLAM ALI | MASJEDI PARISA | Issue Writer Certificate

Keywords

VOLATILITYQ2

LONGQ2

TERM MEMORYQ2

HEAVY TAILQ2

NORMAL INVERSE GAUSSIAN DISTRIBUTIONQ3

EXCHANGE RATEQ3

Abstract

One of the issues in reviewing the performance of a financial market is existence of LONG-term memory. Since for a financial time series, we may find this feature in the VOLATILITY. So reviewing in VOLATILITY has been considered by many economists. A common method for identification and modeling of LONG-term memory in the VOLATILITY is to use FIGARCH models. In this paper, we identify and model LONG-term memory in the data EXCHANGE RATEs VOLATILITY (EUR/IRR). According to the statistical properties of skewness, HEAVY TAIL and excess kurtosis of data, assuming normal residuals being rejected and therefore cannot identify model by using common methods. The data structure looks NIG distribution is a good choice for the distribution of residuals. Hence with this assumption, we again identify model. The results show a good selection for data is FIGARCH-NIG model.

Cites

A STUDY ON THE EFFECTS OF ASYMMETRY AND LONG-RUN MEMORY IN VOLATILITY BETWEEN THE EXCHANGE RATE AND STOCK PRICE RETURNS IN IRAN

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APA: Copy

PARHAM, GHOLAM ALI, & MASJEDI, PARISA. (2014). ANALYSIS OF LONG-TERM MEMORY IN VOLATILITY OF EXCHANGE RATE BY FIGARCH MODEL WITH NIG ERROR. JOURNAL OF STATISTICAL SCIENCES, 7(2), 151-168. SID. https://sid.ir/paper/124094/en

Vancouver: Copy

PARHAM GHOLAM ALI, MASJEDI PARISA. ANALYSIS OF LONG-TERM MEMORY IN VOLATILITY OF EXCHANGE RATE BY FIGARCH MODEL WITH NIG ERROR. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2014;7(2):151-168. Available from: https://sid.ir/paper/124094/en

IEEE: Copy

GHOLAM ALI PARHAM, and PARISA MASJEDI, “ANALYSIS OF LONG-TERM MEMORY IN VOLATILITY OF EXCHANGE RATE BY FIGARCH MODEL WITH NIG ERROR,” JOURNAL OF STATISTICAL SCIENCES, vol. 7, no. 2, pp. 151–168, 2014, [Online]. Available: https://sid.ir/paper/124094/en

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