In this paper, we investigate the effect of the Reserve Bank of Australia on the $US/$A volatility in the period 1983-1995, which can be broken into four distinct phases. Equally, we investigate the changing effectiveness of daily intervention into various separate components. We test the existence of a long memory behaviour i.e. a finite persistence of volatility. To this aim, we rely on a new mesure of volatility implied by the FIGARCH model that outperforms the traditionnally used GARCH one. We find contemporaneous positive correlation between the direction of intervention and the conditional mean and variance of exchange rate returns. The FIGARCH model implies a long memory behaviour.