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Evaluation of Long Memory on the Malaysia Exchange Rate Market

Author

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  • Atikullah Ibrahim*

    (Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selango)

  • Siti Aida Sheikh Hussin

    (Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selangor)

  • Zalina Zahid

    (Department of Statistics and Decision Sciences, Faculty of Computer and Mathematical Sciences, UniversitiTeknologi MARA(UiTM),40450Shah Alam, Selangor)

  • SitiShalizaMohd Khairi

    (Department of Statistics and Decision Sciences, Faculty of Computer and Mathemat)

Abstract

This research evaluates the presence of long memory or long-term dependence on the Malaysian exchange rate. Daily, weekly and monthly data are evaluated against the US dollar (USD) covering from January 2005 to March 2018. Evaluation of long memory is based on the Geweke and Porter-Hudak estimation and the Maximum Likelihood Estimation. The result suggests the presence of long memory on all the daily, weekly and monthly data. Results show that shock on the Malaysian exchange rate persist longer than expected. The forecast capability also concludes that addition of the long memory presence from ARIMA model to ARFIMA model could improve the model forecast.

Suggested Citation

  • Atikullah Ibrahim* & Siti Aida Sheikh Hussin & Zalina Zahid & SitiShalizaMohd Khairi, 2018. "Evaluation of Long Memory on the Malaysia Exchange Rate Market," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 653-656:6.
    • Handle: RePEc:arp:tjssrr:2018:p:653-656
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    References listed on IDEAS

    as
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    2. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    3. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
    4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    5. ERER, Deniz & ERER, Elif & GÜLEÇ, Tuna Can, 2016. "Fractional Cointegration Analysis Of Stock Market And Exchange Rates: The Case Of Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(3), pages 80-94.
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