The study on long memory: exchange rate data for Malaysia-Australia and Malaysia-Singapore

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dc.contributor.authorRamli, Rohaini
dc.date.accessioned2015-05-25T07:01:39Z
dc.date.available2015-05-25T07:01:39Z
dc.date.issued2010
dc.description.abstractMany 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.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/716
dc.language.isoenen_US
dc.titleThe study on long memory: exchange rate data for Malaysia-Australia and Malaysia-Singaporeen_US
dc.typeThesisen_US
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