The study on long memory: exchange rate data for Malaysia-Australia and Malaysia-Singapore
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Date
2010
Authors
Ramli, Rohaini
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Abstract
Many time series in diverse fields have been conducted to test for the existence of
long memory. This study examines the long memory for Malaysia exchange rate
against Australia and Singapore. The test of long memory used is Autoregressive
Fractionally Integrated Moving Average (ARFIMA). For the test of stationary, the
Autocorrelation Function (ACF), the Partial Autocorrelation Function (P ACF) and
the Unit Root Tests by using the Augmented Dickey-Fuller test (ADF) were
performed. These tests were applied to the 3130 daily rate from January 1998 until
December 2009. Stationary test shows that the series is follow /(I). The result
shows no evidence of long memory in the exchange rate for Malaysia-Australia and
Malaysia-Singapore.