| 基于GARCH模型的中美汇率实证分析 |
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| 引用本文： | 孙映宏,曹显兵.基于GARCH模型的中美汇率实证分析[J].数学的实践与认识,2012,42(20). |
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| 作者姓名： | 孙映宏 曹显兵 |
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| 作者单位： | 北京工商大学理学院,北京,100048 |
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| 基金项目： | 北京市属高校人才强教计划项目，研究生教育建设项目 |
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| 摘 要： | 汇率制度改革后,加强人民币汇率风险管理已成为摆在各大经济主体面前的重大课题.基于2010年1月1日至2012年5月10日的美元对人民币日汇率值,利用广义条件异方差自回归(GARCH)模型,对中美汇率日数据进行处理与检验,得到了残差存在异方差性.在此基础上建立了汇率GARCH模型,实证分析表明精确性高.
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| 关 键 词： | 汇率波动 GARCH模型 聚集性 |
An Empirical Analysis of Sino-US Exchange Rate Based on GARCH Model |
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| SUN Ying-hong
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CAO Xian-bing.An Empirical Analysis of Sino-US Exchange Rate Based on GARCH Model[J].Mathematics in Practice and Theory,2012,42(20). |
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| Authors: | SUN Ying-hong CAO Xian-bing |
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| Abstract: | After reform of exchange rate system,strengthening of the RMB exchange rate risk management has become a major issue in the face of major economic entities.Based on the data of exchange rate about dollar against RMB from Jan.1,2010 to Feb.10,2012,this paper establishes a Generalized Autoregressive Conditional Heteroskedastic Model.The empirical analysis of Sino-US exchange rate shows that the model is accurate. |
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| Keywords: | volatility of exchange rate GARCH model aggregation |
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