Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory

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Year of publication:	2019
Authors:	Maatoug, Abderazak Ben
Other Persons:	Lamouchi, Rim Ammar (contributor) ; Davidson, Russell (contributor) ; Fatnassi, Ibrahim (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Strukturbruch \| Structural break \| Wechselkurs \| Exchange rate \| Zeitreihenanalyse \| Time series analysis \| US-Dollar \| US dollar \| Schätztheorie \| Estimation theory \| Prognoseverfahren \| Forecasting model
Description of contents:	Abstract [papers.ssrn.com]