Long memory in the R$ / US$ exchange rate: A robust analysis

2004 ◽  
Vol 24 (1) ◽  
pp. 109 ◽  
Author(s):  
Márcio Poletti Laurini ◽  
Marcelo Savino Portugal
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Structural Breaks ◽  
Monte Carlo Study ◽  
Markov Switching Model ◽  
Switching Model ◽  
Short Memory ◽  
Variance Parameters ◽  
Short Memory Process ◽  
Unconditional Variance

This article shows that the evidence of long memory for the daily R$ /US$ exchange rate series after the implementation of the Real Plan is not robust when we analyze the existence of structural breaks in this series. We demonstrate that the long memory observed is caused by changes in the structure of variance, captured by a Markov Switching model in all the parameters. A Monte Carlo study shows that the long memory structure can be induced by changes in the unconditional variance parameters, and that the data generating mechanism is a short memory process.

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

scholarly journals Can Markov switching model generate long memory?

2014 ◽  
Vol 124 (1) ◽  
pp. 117-121 ◽  
Author(s):  
Changryong Baek ◽  
Natércia Fortuna ◽  
Vladas Pipiras
Keyword(s):  
Long Memory ◽  
Markov Switching ◽  
Markov Switching Model ◽  
Switching Model

scholarly journals Short memory or long memory: an empirical survey of daily rainfall data

2012 ◽  
Vol 9 (10) ◽  
pp. 12271-12291
Author(s):  
F. Yusof ◽  
I. L. Kane
Keyword(s):  
Long Memory ◽  
Structural Breaks ◽  
Structural Break ◽  
Daily Rainfall ◽  
Least Square ◽  
Rainfall Data ◽  
Data Sets ◽  
Original Series ◽  
Daily Rainfall Data ◽  
Short Memory

Abstract. A short memory process that encounters occasional structural breaks in mean can show a slower rate of decay in the autocorrelation function and other properties of fractional integrated I (d) processes. In this paper we employed a procedure for estimating the fractional differencing parameter in semi parametric contexts proposed by Geweke and Porter-Hudak to analyze nine daily rainfall data sets across Malaysia. The results indicate that all the data sets exhibit long memory. Furthermore, an empirical fluctuation process using the Ordinary Least Square (OLS) based cumulative sum (CUSUM) test with F-statistic for the break date were applied, break dates were detected in all data sets. The data sets were partitioned according to their respective break date and further test for long memory was applied for all subseries. Results show that all subseries follows the same pattern with the original series. The estimate of the fractional parameters d1 and d2 on the subseries obtained by splitting the original series at the break-date, confirms that there is a long memory in the DGP. Therefore this evidence shows a true long memory not due to structural break.

Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns

2004 ◽  
Vol 11 (9) ◽  
pp. 591-594 ◽  
Author(s):  
Leïla Nouira ◽  
Ibrahim Ahamada ◽  
Jamel Jouini * ◽  
Alain Nurbel
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Us Dollar ◽  
The Exchange Rate ◽  
And Shifts ◽  
Unconditional Variance
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