| 基于GARCH模型的短期汇率预测 |
| |
| 引用本文： | 魏红燕,孟纯军.基于GARCH模型的短期汇率预测[J].经济数学,2014(1):81-84. |
| |
| 作者姓名： | 魏红燕 孟纯军 |
| |
| 作者单位： | 湖南大学数学与计量经济学院; |
| |
| 基金项目： | 国家自然科学基金资助项目(11271117) |
| |
| 摘 要： | 研究人民币对美元的汇率预测,通过对2010年7月1日至2013年11月30的周汇率平均值进行数据分析,发现其基本符合时间序列分析中的GARCH模型,因此采用该模型进行预测,预测结果比较成功。预测表明人民币呈现升值的趋势.
|
| 关 键 词： | 汇率 GARCH模型 汇率预测 |
Short-term Prediction of Rates Based on GARCH Model |
| |
| WEI Hong-yan,MENG Chun-jun.Short-term Prediction of Rates Based on GARCH Model[J].Mathematics in Economics,2014(1):81-84. |
| |
| Authors: | WEI Hong-yan MENG Chun-jun |
| |
| Institution: | (College of Mathematics and Econometrics, Hunan University, Changsha, Hunan 410082, China ) |
| |
| Abstract: | The analysis on the weekly average values of the exchange rates of RMB against the U. S. Dollar from July 1, 2010 to November 30, 2013 shows that it is in line with the GARCH model of time series analysis. Therefore, it is practicable to use the model to do prediction, and the result shows that it is relatively successful. The prediction indicates that the RMB presents a rising trend. |
| |
| Keywords: | Exchange rate GARCH model Prediction of exchange rate |
| 本文献已被 CNKI 维普 等数据库收录！ |
| 点击此处可从《经济数学》浏览原始摘要信息 |
| 点击此处可从《经济数学》下载免费的PDF全文 |
|
