Long-term Memory for USD/CNY based on GPH

Fei-xue HUANG


This paper chooses closing price return rate series of USD/CNY to study. Sample interval covers from 22th July 2005 to 15th Sep 2008(before the financial crisis) and from 16th September 2008 to 19th May 2010(after the financial crisis).The author put forward GPH and Tapered GPH Method, and concluded through comparable analysis that:In the conditions of V using T0.5、T0.525、T0.55、T0.575、T0.6 samples, standard GPH and tapered GPH tests are adopted. The results show that Fractal dimension parameter d is significantly greater than 0 and the statistics are more than critical value of 1% level before financial crisis USD/CNY. After financial crisis, the parameter has become smaller than that before financial crisis, which is near 0 significantly. In the long term, there is no trend or structural breaks in the exchange market. This study's conclusion was that long-term memory exists in daily return time series of USD/CNY become smaller after financial crisis. Key words: USD/CNY; GPH; Long-term Memory

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DOI: http://dx.doi.org/10.3968/j.sss.1923018420100102.003


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