Anthony A. Ekeoba

Volatility Behaviour of Currency Exchange Rates in Selected Countries: Long Memory Effect

David Umoru, Anthony A. Ekeoba & Beauty Igbinovia · Asian Journal of Economics, Business and Accounting · 2024

In financial econometrics, models of long memory, such as ARFIMA models, are compared to short memory models, such as ARIMA models. Given that the researchers were empirically desirous of determining the volatility behaviour of exchange rate returns on African currencies in excha...