Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

Abstract This study considers the long memory and fractional integration in range-based volatilities across 30 currencies against USD. Graphical analysis of autocorrelation function at lags pole near zero frequencies periodogram suggests existence integration. We apply semi-parametric methods to measure long-range dependence. find a decrease estimates with an increase bandwidth, which indicates presence spurious rather true memory. The hypothesis alternative is also tested by applying different methods. Empirical results confirm that may be result some shocks volatility estimator. Furthermore, reduced obtained utilising estimator accounting for level shifts explains inconsistency Local Whittle estimate number breaks each series.