Fractal Analysis of Moroccan Dirham Exchange Rate: Theory and Comparative Results
Fractal Analysis of Moroccan Dirham Exchange Rate: Theory and Comparative Results

Summary/Abstract: Given the central position occupied by the exchange rate and its important role in terms of equilibrium of the supply of and foreign currency demand, its analysis appears among the most active areas of economic research. In this regard, researchers were developed several parametric and non-parametric approaches to model exchange rate behavior. Among these methods, we are particularly interested to fractional Brownian motion (fBm) to model the complexity of used series. The main step of this model is the estimation of Hurst index, which plays a very important role in the research of processes with self- similarity proprieties. In this paper, we analyze firstly, the evolution of two important series of exchange rates which have a significant impact on the Moroccan economy. In the second, we carry out a comparative analysis of the Hurst exponent statistical properties, using geometrical, temporal, spectral and multi-scale analysis estimation methods. The choice of the efficient method is evaluated in terms of robustness and efficiency.

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