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2014•Journal of Guangxi University for NationalitiesRequires access

A Study on Short and Long Memory Characteristic of Exchange Rate Return

WU Hui-hu

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Abstract

The paper determines the memory characteristics of RMB/USD and EURO/USD exchange rate return by Q test,R/S statistics and ARFIMA model.The results are as follows:RMB exchange rate return has significantly long memory while EURO does' t;EURO exchange rate return has short memory while RMB does' t.This illustrates that RMB foreign exchange market is more inefficient than EURO foreign exchange market.So we should establish different mathematical models to fit and forecast the two kinds of exchange rate returns.

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What this paper is about

The paper determines the memory characteristics of RMB/USD and EURO/USD exchange rate return by Q test,R/S statistics and ARFIMA model.The results are as follows:RMB exchange rate return has significantly long memory while EURO does' t;EURO exchange rate return has short memory while RMB does' t.This illustrates that RMB foreign exchange market is more inefficient than EURO foreign exchange market.So we should establish different mathematical models to fit and forecast the two kinds of exchange rate returns.

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Available abstract

The paper determines the memory characteristics of RMB/USD and EURO/USD exchange rate return by Q test,R/S statistics and ARFIMA model.The results are as follows:RMB exchange rate return has significantly long memory while EURO does' t;EURO exchange rate return has short memory while RMB does' t.This illustrates that RMB foreign exchange market is more inefficient than EURO foreign exchange market.So we should establish different mathematical models to fit and forecast the two kinds of exchange rate returns.

Key concepts: Renminbi, Exchange rate, Autoregressive fractionally integrated moving average, Foreign exchange market, Economics, Econometrics, Long memory, Foreign exchange

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