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Modèls Garch à la mémoire longue: application aux taux de change tunisiens

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ABSTRACT This paper deals with statistics’and econometrics’properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in…nite decrease of volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt (2002), the contributions of the FIGARCH model are extended by accounting for the observed kurtosis through a student-t based maximum likelihood estimation. This estimation improves the goodness of …t properties of this model and may lead to di¤erent interest parameters estimates.

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May 31, 2014