1Department of International Business, Chung Yuan Christian University, Chungli, Taiwan, (R.O.C.)
2Ph. D. Program in Business, College of Business, Chung Yuan Christian University, Chungli, Taiwan, (R.O.C.)
Online published on 20 May, 2016.
This paper investigates the long memory for the closing prices in currency indexof exchange traded funds. ARFIMA and FIEGARCH models for Renminbi (CYB); daily prices in exchange traded funds have been studied and tested in this study in order to find out the best fitted model for Renminbi currency index. Finally the empirical results of this study showfor CYB currencyindex exchange traded funds. TheARFIMA (2, d, 3) and FIEGARCH (2, d, 3) were found to be the best modelsduring sevenyears’(2008–2014).The reason for doing this study was in order to find out the effects on CYB index during the period when recession struck (2008); as most economies came out of it until 2014; thus it was interesting to study the effectiveness of CYB index during the period of (2008–2014) for exchange traded funds; which is one of the finest currency index belonging to China which is again one of the fastest developing and growing economy.
ARFIMA, FIEGARCH, long memory, exchange traded funds
