Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises
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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.
- 広島経済大学経済学会の論文
- 2009-03-31
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