| Popis: |
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. |
