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An Analysis of Presence of Long Memory In The Indian Foreign Exchange Market
GITAM review of International Business (2011)
  • Anoop Sasikumar
Abstract
This paper seeks to analyze the presence of long memory in the Indian foreign exchange market using a family of tests. The study has used Nominal Effective Exchange Rate (NEER) series as the data source to check the possible presence of long memory. Three R/S statistics viz. Hurst, Mandelbrot’s and Lo’s modified R/S statistics as well as two semi-parametric tests viz. Robinson’s Gaussian semi-parametric estimate and Andrews-Guggenberger modified GPH estimator are used for the purpose of analysis. All the results conclusively prove the presence of strong version of long memory in the Indian foreign exchange market.
Keywords
  • Long Memory,
  • India,
  • Foreign Exchange
Publication Date
2011
Citation Information
Anoop Sasikumar. "An Analysis of Presence of Long Memory In The Indian Foreign Exchange Market" GITAM review of International Business Vol. 4 Iss. 1 (2011)
Available at: http://works.bepress.com/anoop_sasikumar/2/