The Gaussian GARCH (1,1) model has traditionally been used for studying the exchange rate. However, an important number of recent studies, using FIGARCH and HYGARCH models, have found evidence for the persistence of exchange rate volatility. This study, using nested models, found evidence in...

El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su volatilidad. En este trabajo, usando una estrategia...

Castaño et al. (2008) proposed a test to investigate the existence of long memory based on the fractional differencing parameter of an ARFIMA (p, d, q) model. They showed that using an autoregressive approximation with order equal to the nearest integer of p* = T1/3 for the short-term component...