基于GARCH模型研究人民币汇率的波动特征
首发时间:2012-11-28
摘要:为了较好的预测未来人民币汇率的波动变化,本文应用Eviews软件对2011年2月16日至2012年11月7日美元对人民币中间价汇率数据建立GARCH模型,结果表明:美元对人民币汇率回报序列不服从正态分布,具有显著的尖峰左厚尾特征,波动有群集性但不会一直持续;TGARCH模型显示人民币汇率波动存在杠杆效应;基于GED残差分布的GARCH模型拟合汇率回报效果最好。
For information in English, please click here
The Research of the Fluctuation Characteristic of RMB Exchange Rate Based on GARCH Model
Abstract:In this paper, in order to forecaste RMB exchange rate in the future well, the software of EVIEWS is used to deal with the USD/RMB exchange rate which is from February 16th 2011 to November 7th 2012 and build GARCH model. The results show that:the return of USD/RMB exchange rate is disobedient normally distribution and has obvious peak and left fat tail,and the volatility has a characteristic of fluctuation clustering but would not be last for long time; the TGARCH model shows that there is leverage effect to RMB exchange rate; when the residual submit to GED distribution, GARCH model is the best for fitting the return of RMB exchange rate.
Keywords: RMB exchange rate GARCH model leverage effect residual distribution
基金:
论文图表:
引用
No.****
同行评议
共计0人参与
勘误表
基于GARCH模型研究人民币汇率的波动特征
评论
全部评论0/1000