Using high frequency data, this paper examines the long memory property in the unconditional and conditional volatility of the USD/INR exchange rate at different time scales using the Local Whittle (LW), the Exact Local Whittle (ELW) and the FIAPARCH models. Results indicate that the long memory...

In this paper, we assess the size and power properties of Inclan and Tiao's (1994) Iterated Cumulative Sum of Squares (IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high, low and closing prices proposed by Rogers and Satchell...