The Empirical Study on Long-Memory Properties of Korean

          Won/Dollar Exchange Rate and Volatility

AUTHOR : Ha-Hyun Jo and Seungkook Lee

CONTACT : Institute for Monetary & Economic Research

             (tel: 82-2-759-5407, 5421 fax: 82-2-759-5410)

ATTACH : EP6-2-2.pdf

Summary:

     This paper examines the existence of long-memory properties in Won/Dollar exchange rate and its volatility. Understanding DGP (Data Generating Process) of time series helps to specify a prediction model correctly and, further, it i