Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market

Djaballah Mustapha

doi:doi:10.11648/j.ijefm.20200804.11

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Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market

Djaballah Mustapha

Published in International Journal of Economics, Finance and Management Sciences (Volume 8, Issue 4)

Received: 27 February 2020 Accepted: 20 March 2020 Published: 13 July 2020

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Abstract

In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 8, Issue 4)
DOI	10.11648/j.ijefm.20200804.11
Page(s)	128-137
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2020. Published by Science Publishing Group

Keywords

Volatility, Long Memory, Algerian Interbank Market, Fractional Integration

References

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Djaballah Mustapha. (2020). Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. International Journal of Economics, Finance and Management Sciences, 8(4), 128-137. https://doi.org/10.11648/j.ijefm.20200804.11

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Djaballah Mustapha. Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. Int. J. Econ. Finance Manag. Sci. 2020, 8(4), 128-137. doi: 10.11648/j.ijefm.20200804.11

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AMA Style

Djaballah Mustapha. Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. Int J Econ Finance Manag Sci. 2020;8(4):128-137. doi: 10.11648/j.ijefm.20200804.11

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@article{10.11648/j.ijefm.20200804.11,
  author = {Djaballah Mustapha},
  title = {Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {8},
  number = {4},
  pages = {128-137},
  doi = {10.11648/j.ijefm.20200804.11},
  url = {https://doi.org/10.11648/j.ijefm.20200804.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20200804.11},
  abstract = {In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.},
 year = {2020}
}

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TY  - JOUR
T1  - Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market
AU  - Djaballah Mustapha
Y1  - 2020/07/13
PY  - 2020
N1  - https://doi.org/10.11648/j.ijefm.20200804.11
DO  - 10.11648/j.ijefm.20200804.11
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 128
EP  - 137
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20200804.11
AB  - In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.
VL  - 8
IS  - 4
ER  -

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Author Information

Djaballah Mustapha

Department of Economy, Faculty of Economics and Management, University of Muhamed Boudiaf, M’sila, Algeria

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Djaballah Mustapha. (2020). Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. International Journal of Economics, Finance and Management Sciences, 8(4), 128-137. https://doi.org/10.11648/j.ijefm.20200804.11

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ACS Style

Djaballah Mustapha. Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. Int. J. Econ. Finance Manag. Sci. 2020, 8(4), 128-137. doi: 10.11648/j.ijefm.20200804.11

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AMA Style

Djaballah Mustapha. Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market. Int J Econ Finance Manag Sci. 2020;8(4):128-137. doi: 10.11648/j.ijefm.20200804.11

Copy | Download

@article{10.11648/j.ijefm.20200804.11,
  author = {Djaballah Mustapha},
  title = {Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {8},
  number = {4},
  pages = {128-137},
  doi = {10.11648/j.ijefm.20200804.11},
  url = {https://doi.org/10.11648/j.ijefm.20200804.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20200804.11},
  abstract = {In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.},
 year = {2020}
}

Copy | Download

TY  - JOUR
T1  - Volatility and Long Memory Modeling of Exchange Rate Case of Algerian Interbank Market
AU  - Djaballah Mustapha
Y1  - 2020/07/13
PY  - 2020
N1  - https://doi.org/10.11648/j.ijefm.20200804.11
DO  - 10.11648/j.ijefm.20200804.11
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 128
EP  - 137
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20200804.11
AB  - In this paper we will try to identify and modeling the phenomenon of dependence of short and long term exchange rate volatility through a well-founded approach on the long memory process. The reform of the interbank market is part of the economic recovery program launched by the authorities in 1988. The reorganization of the money market which served to supplement the liquidity needs of banks after exhaustion of refinancing possibilities "counter rediscount ", has undergone significant changes since its reorganization from 1989 to date, in particular, with new players. This note identifies its organization and prospects, as well as the new methods of intervention by the Bank of Algeria. Besides the interbank market, a market for negotiable debt securities will be set up and will thus form a new money market, in the broad sense., the market for negotiable debt securities presents itself as a hinge between the short and long term capital markets where a range of short and medium term securities are offered to agents with financing capacity, such as treasury bills, cash and certificates of deposit. Our empirical study concerns a sample covering average prices GBP, USD and EUR during the overall period of market functioning Algerian interbank exchange rates (March 2008- March 2018). the results obtained testify the presence of a certain phenomenon of long-term persistence in the volatility of exchange rate. FIGARCH-type processes seem to surround this phenomenon.
VL  - 8
IS  - 4
ER  -

Copy | Download