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

机译:阿尔及利亚银行市场汇率案例的波动性和长记忆建模

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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.
机译:在本文中,我们将尝试通过在长记忆过程中通过创立的方法来识别和建模短期和长期汇率波动的现象。银行间市场的改革是1988年由当局推出的经济复苏计划的一部分。在再融资可能性“计数器重新贴心”中,待补充银行流动性需求的货币市场的重组经历了重大变化它的重组从1989年到迄今为止,特别是新球员。本说明确定其组织和前景,以及阿尔及利亚银行的新干预方法。除了银行间市场之外,将在广义上设立一个可转让债务证券市场,从而建立一个新的货币市场。,可转让债务证券市场呈现在短期和长期资本市场之间的铰链为具有融资能力的代理商提供一系列的短期和中期证券,例如财政部票据,现金和存款证书。我们的实证研究涉及涵盖Algerian Interbank汇率的总体市场中的平均价格GBP,USD和EUR的示例(2008年3月)。得到的结果证实了在汇率波动中存在一定的长期持久性现象。偶模类型的过程似乎包围了这种现象。

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