期刊刊名：管理科學與統計決策 　 卷期：7卷4期

篇名出版日期：2010年12月1日

作者：AURASIRI ARKARAWANATORN, PRAPATCHON JARIYAPAN, SONGSAK SRIBOONCHITTA, PAIRAT KANJANAKAROON

語言：English

關鍵字：FIGARCH, NIG Distribution, Hyperbolic Memory, Conditional Volatility, Exchange Rate

被點閱次數：1次

閱讀時間：1sec

摘要：
The purpose of this research is to construct GARCH and FIGARCH model for daily exchange rate returns with Normal, Student’s-t and Normal Inverse Gaussian (NIG) error distributions. A model is constructed by extending GARCH-NIG model to FIGARCH-NIG model to study the hyperbolic memory and time variation in the conditional volatility of daily exchange rate returns. It is found that, FIGARCH-NIG model is efficient in capturing hyperbolic memory and time variation in the conditional volatility and the result reveals asymmetric distribution in dollar exchange rate and symmetric distribution in yen exchange rate.

　　　　　[全文下載]