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Poisson Jumps and Long Memory Volatility Process in High Frequency European Exchange Rates

한영욱
경제연구소 (Hanyang Economic Research Institute)|2007.06|Seoul Journal of Economics|제20권 제2호|pp. 201-222|DOI 10.22904/sje.2007.20.2.001

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참고문헌

키워드

FIGARCHNormal mixture distributionHigh frequency foreign exchange ratesLong memory propertyPoisson jump process
주제분류경제학

초록

This paper analyzes the intriguing features of 30-minute European foreign exchange rates during the year 1996; jumps and long memory volatility process. The FIGARCH model with the Poisson distribution is applied in order to consider both the jumps in the conditional mean process and the long memory property in the conditional variance process of the high frequency foreign exchange returns series. The general results show that the Poisson distribution accounts for the jumps in the high frequency foreign exchange rates returns quite well and that the jumps seem to spuriously induce higher long memory property in the high frequency foreign exchange returns. Hence, the FIGARCH model with the Poisson distribution appears to be quite appropriate for the specification of the high frequency returns.

Abstract

This paper analyzes the intriguing features of 30-minute European foreign exchange rates during the year 1996; jumps and long memory volatility process. The FIGARCH model with the Poisson distribution is applied in order to consider both the jumps in the conditional mean process and the long memory property in the conditional variance process of the high frequency foreign exchange returns series. The general results show that the Poisson distribution accounts for the jumps in the high frequency foreign exchange rates returns quite well and that the jumps seem to spuriously induce higher long memory property in the high frequency foreign exchange returns. Hence, the FIGARCH model with the Poisson distribution appears to be quite appropriate for the specification of the high frequency returns.

참고문헌 (48)

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