NDLI: Long memory and leverage effect of Euro exchange rate based on ARFIMA-FIEGARCH

Content Provider	IEEE Xplore Digital Library
Author	Huang Fei-xue Zhao Yan Hou Tie-shan
Copyright Year	2009
Description	Author affiliation: Department of Economics, Dalian University of Technology, China, 116024 (Huang Fei-xue; Zhao Yan; Hou Tie-shan)
Abstract	To test long memory and leverage effect in daily exchange rate of Euro foreign exchange market, this paper builds ARFIMA-FIEGARCH model to the return series, using daily exchange rate of EUR/USD, EUR/JPY and EUR/GPB from 1st Jan 1999 to 31st Dec 2007. According to Akaike, Schwarz, Shibata and Hannan-Quinn information criterions, order of the model is fixed and parameter is estimated. The empirical result implies return series and volatility series of daily exchange rate of EUR/USD show significant long memory and ARFIMA(1,d1,0)-FIEGARCH(1,d2,0) is the optimization model. Return series of daily exchange rate of EUR/JPY and EUR/GBP do not show significant long memory but volatility series show significant long memory, and ARMA(1,0)-FIEGARCH(1,d,0) is the optimization model. Leverage effect (including sign effect and magnitude effect) exists in volatility series of daily exchange rate of three currency pairs, positive and negative information takes persistent influence on volatility of Euro foreign exchange market and volatility intensity gets enlarged.
Starting Page	1416
Ending Page	1421
File Size	232553
Page Count	6
File Format	PDF
ISBN	9781424439706
DOI	10.1109/ICMSE.2009.5317973
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-09-14
Publisher Place	Russia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Parameter estimation Power generation economics Conference management Helium Exchange rates Technology management Engineering management Memory management Euro exchange market leverage effect ARFIMA-FIEGARCH model long memory Stock markets Testing
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in