%0 Journal Article
%T A wavelet-based approach for modelling exchange rates
%+ Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM)
%+ Institut de mathématiques de Luminy (IML)
%A Boubaker, Heni
%A Boutahar, Mohamed
%< avec comité de lecture
%@ 1618-2510
%J Statistical Methods and Applications
%I Springer Verlag
%V 20
%N 2
%P 201-220
%8 2011-06
%D 2011
%R 10.1007/s10260-010-0152-x
%K exchange rates
%K forecasting
%K GARMA-FIGARCH
%K wavelets
%Z 62
%Z Mathematics [math]/Statistics [math.ST]Journal articles
%X This paper proposes a new approach, based on the recent developments of the wavelet theory, to model the dynamic of the exchange rate. First, we consider the maximum overlap discrete wavelet transform (MODWT) to decompose the level exchange rates into several scales. Second, we focus on modelling the conditional mean of the detrended series as well as their volatilities. In particular, we consider the generalized fractional, one-factor, Gegenbauer process (GARMA) to model the conditional mean and the fractionally integrated generalized autoregressive conditional heteroskedasticity process (FIGARCH) to model the conditional variance. Moreover, we estimate the GARMA-FIGARCH model using the wavelet-based maximum likelihood estimator (Whitcher in Technometrics 46:225–238, 2004). To illustrate the usefulness of our methodology, we carry out an empirical application using the daily Tunisian exchange rates relative to the American Dollar, the Euro and the Japanese Yen. The empirical results show the relevance of the selected modelling approach which contributes to a better forecasting performance of the exchange rate series.
%G English
%L hal-01310693
%U https://hal.science/hal-01310693
%~ CNRS
%~ UNIV-AMU
%~ EHESS
%~ GREQAM
%~ EC-MARSEILLE
%~ IML
%~ I2M
%~ AMSE