Long-memory of Foreign Exchange Rate Data

Authors

  • Chatchai Pesee Department of Mathematics, Faculty of Science, Kasetsart University, Bangkok 10900, Thailand.
  • Natthapon Mecapikanon Department of Professional Development in Education, Faculty of Education, Chiang Mai University, Chiang Mai 50200, Thailand.

Keywords:

fractional Brownian motion, long-range dependence, short-range dependence, memory, spectral density function

Abstract

This paper investigates long-memory of foreign exchange rate data by the fractional Brownian motion (fBm). We use the principle of spectral density function to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-range dependence (LRD) if 1/2< H <1. The curve of foreign exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Our results indicate that there exists a long-range dependence (LRD) or a long- memory for the foreign exchange rate data. If it has LRD, then it has memory predictable in Time Series method for the next step.

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Published

2007-12-30

How to Cite

Chatchai Pesee, and Natthapon Mecapikanon. 2007. “Long-Memory of Foreign Exchange Rate Data”. Agriculture and Natural Resources 41 (4). Bangkok, Thailand:792-97. https://li01.tci-thaijo.org/index.php/anres/article/view/244325.

Issue

Vol. 41 No. 4 (2007): October-December

Section

Research Article

License

online 2452-316X print 2468-1458/Copyright © 2022. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/),
production and hosting by Kasetsart University of Research and Development Institute on behalf of Kasetsart University.