Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises

URI http://harp.lib.hiroshima-u.ac.jp/hue/metadata/3942
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Title
Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises
Author
氏名 Maekawa Koichi
ヨミ マエカワ コウイチ
別名 前川 功一
氏名 Lu Xinhong
ヨミ
別名
Subject
ARFIMAX model
Financial crisis
Exchange rate
High frequency time
Abstract

In this paper, we analyze volatility in high frequency data on returns on the13;
exchange rate for the Japanese Yen against the US dollar during the following13;
economic crises: the Russian financial crisis of 1998; the Asian financial crisis of13;
1997-98; and the current global financial crisis, which began in 2008. We in13;
particular analyze the effects of these economic crises on long memory processes in13;
volatility by using the autoregressive fractionally integrated moving average model13;
with an explanatory exogenous variable,which can represent asymmetry in volatility.13;
From this model, we find that there are statistical evidences of long memory and13;
asymmetry in volatility in the returns on the Yen/US$ exchange rate.We compare the13;
effect of the Russian and Asian financial crises on long memory and find that the13;
former effect on volatility is larger than the latter.Concernig with the current global13;
financial crisis,it is ongoing and hence firmer conclusions on this period await the end13;
of this crisis.However as long as the data up to November,2008is concerned we can13;
see that the current global financial crisis has extremely strong effects on the long13;
memory property.Roughly speaking,the size of the shock seems to be associated with13;
the magnitude of the long memory parameter.We may suggest that d could be used13;
as an indicator to evaluate the level of the shocks in economic crises.

Journal Title
広島経済大学経済研究論集
Volume
31
Issue
4
Spage
41
Epage
69
Published Date
2009-03-31
Publisher
広島経済大学経済学会
ISSN
03871436
NCID
AN00212083
Language
eng
NIIType
Departmental Bulletin Paper
Text Version
出版社版
Old URI
Set
hue