Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market
International Journal of Economics, Finance and Management Sciences
Volume 8, Issue 4, August 2020, Pages: 128-137
Received: Feb. 27, 2020; Accepted: Mar. 20, 2020; Published: Jul. 13, 2020
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Author
Djaballah Mustapha, Department of Economy, Faculty of Economics and Management, University of Muhamed Boudiaf, M’sila, Algeria
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Abstract
In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.
Keywords
Volatility, Long Memory, Algerian Interbank Market, Fractional Integration
To cite this article
Djaballah Mustapha, Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market, International Journal of Economics, Finance and Management Sciences. Vol. 8, No. 4, 2020, pp. 128-137. doi: 10.11648/j.ijefm.20200804.11
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Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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