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https://www.um.edu.mt/library/oar/handle/123456789/31868
Title: | Long memory in volatility. An investigation on the Central and Eastern European exchange rates |
Authors: | Bobeica, Gabriel Bojesteanu, Elena |
Keywords: | Foreign exchange rates -- Europe, Central Foreign exchange rates -- Europe, Eastern Foreign exchange rates -- Risk assessment GARCH model |
Issue Date: | 2008 |
Publisher: | University of Piraeus. International Strategic Management Association |
Citation: | Bobeica, G., & Bojesteanu, E. (2008). Long memory in volatility. An investigation on the Central and Eastern European exchange rates. European Research Studies Journal, 11(4), 7-18. |
Abstract: | Understanding the evolution of volatility on the financial markets is essential for the comprehension and for the analysis of risk. This paper regards the topic of persistence of volatility in the exchange rates for four Central and Eastern European countries: Czech Republic, Hungary, Poland, and Romania. Persistence in volatility shows how quickly financial markets forget large volatility shocks. The persistence of volatility is addressed as the presence of long-term memory in the second order moment of returns and in absolute returns. The main feature of a long-memory process is that its autocorrelation function decays slower than that of a short memory process, but faster than that of an integrated one. The paper also concerns the implications on risk assessment of detecting long-term memory in the volatility of the exchange rate. |
URI: | https://www.um.edu.mt/library/oar//handle/123456789/31868 |
ISSN: | 11082976 |
Appears in Collections: | European Research Studies Journal, Volume 11, Issue 4 |
Files in This Item:
File | Description | Size | Format | |
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Long_memory_in_volatility_ An_investigation_on_the_Central_and_Eastern_European_exchange_rates_2008.pdf | 175.83 kB | Adobe PDF | View/Open |
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