Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries
Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members' exchange rates with respect to US...
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| Format: | Article |
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ELSEVIER SCIENCE BV
2007
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| Online Access: | http://shdl.mmu.edu.my/3263/ |
| _version_ | 1848790279546470400 |
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| author | Muniandy, Sithi V. Uning, Rosemary |
| author_facet | Muniandy, Sithi V. Uning, Rosemary |
| author_sort | Muniandy, Sithi V. |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members' exchange rates with respect to US dollar. The impact of exchange rate policies implemented by the ASEAN-5 countries on the currency fluctuations during pre-, mid- and post-crisis are briefly discussed. The time series considered are daily price returns, absolute returns and aggregated absolute returns, each partitioned into three segments based on the crisis regimes. These time series are then modeled using fractional Gaussian noise, fractionally integrated ARFIMA (0, d, 0) and generalized Cauchy process. The first two stationary models provide the description of long-range dependence through Hurst and fractional differencing parameter, respectively. Meanwhile, the generalized Cauchy process offers independent estimation of fractal dimension and long memory exponent. In comparison, among the three models we found that the generalized Cauchy process showed greater sensitivity to transition of exchange rate regimes that were implemented by ASEAN-5 countries. (c) 2006 Elsevier B.V. All rights reserved. |
| first_indexed | 2025-11-14T18:10:05Z |
| format | Article |
| id | mmu-3263 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:10:05Z |
| publishDate | 2007 |
| publisher | ELSEVIER SCIENCE BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-32632011-10-14T08:14:45Z http://shdl.mmu.edu.my/3263/ Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries Muniandy, Sithi V. Uning, Rosemary T Technology (General) QC Physics Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members' exchange rates with respect to US dollar. The impact of exchange rate policies implemented by the ASEAN-5 countries on the currency fluctuations during pre-, mid- and post-crisis are briefly discussed. The time series considered are daily price returns, absolute returns and aggregated absolute returns, each partitioned into three segments based on the crisis regimes. These time series are then modeled using fractional Gaussian noise, fractionally integrated ARFIMA (0, d, 0) and generalized Cauchy process. The first two stationary models provide the description of long-range dependence through Hurst and fractional differencing parameter, respectively. Meanwhile, the generalized Cauchy process offers independent estimation of fractal dimension and long memory exponent. In comparison, among the three models we found that the generalized Cauchy process showed greater sensitivity to transition of exchange rate regimes that were implemented by ASEAN-5 countries. (c) 2006 Elsevier B.V. All rights reserved. ELSEVIER SCIENCE BV 2007-11 Article NonPeerReviewed Muniandy, Sithi V. and Uning, Rosemary (2007) Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 371 (2). pp. 585-598. http://apps.webofknowledge.com/full_record.do?product=WOS&search_mode=GeneralSearch&qid=1&SID=W1@241EnM@NdE2@EIgh&page=129&doc=1285 |
| spellingShingle | T Technology (General) QC Physics Muniandy, Sithi V. Uning, Rosemary Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title | Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title_full | Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title_fullStr | Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title_full_unstemmed | Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title_short | Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries |
| title_sort | characterization of exchange rate regimes based on scaling and correlation properties of volatility for asean-5 countries |
| topic | T Technology (General) QC Physics |
| url | http://shdl.mmu.edu.my/3263/ http://shdl.mmu.edu.my/3263/ |