Skip to main content

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Buy Article:

$47.00 plus tax (Refund Policy)

This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student-t based maximum likelihood estimation and by including variables capturing the effect of closing days. These estimations suggest that the introduction of these features improves the goodness of fit properties of the model on the one hand, and may lead to different interest parameters estimates on the other hand. In particular, it is shown that in the case of the DEM, volatility shocks may display much less persistence than documented by previous studies. Finally, it is shown that an ARFIMA-FIGARCH framework turns out to be relevant for all the currencies (except the GBP), without inducing any significant changes in the inference of the stochastic volatility process.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Publication date: 2002-08-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more