Analyzes volatility in selected currency pairs, suggesting variations in memory characteristics.
This paper employs the Fractionally Integrated GARCH (FIGARCH) model to analyze the volatility of daily USD returns in four major currency pairs: Euro-USD, GBP-USD, INR-USD, and JPY-USD, using data from January 4, 1999, to August 6, 2021. Before model fitting, the squared-innovation series is examined for the presence of long memory through informal and formal methods. While the Hurst Exponent (H) does not indicate long memory, the Local Whittle Estimator and GPH estimator suggest evidence of long memory for all pairs except JPY-USD.
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Kumar et al. (2025) studied this question.
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