| 基于GARCH模型的人民币汇率波动规律研究 |
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| 引用本文： | 骆珣,吴建红.基于GARCH模型的人民币汇率波动规律研究[J].数理统计与管理,2009,28(2). |
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| 作者姓名： | 骆珣 吴建红 |
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| 作者单位： | 北京理工大学管理与经济学院,北京,100081 |
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| 摘 要： | 自人民币汇率体制改革以来,汇率波动日趋复杂.鉴于GARCH模型能够较好地拟合汇率时间序列的尖峰厚尾特征,本文采集了2003～2007年之间的1069个美元兑人民币汇率日值,应用GARCH模型进行分析,证实了我国外汇市场确实存在ARCH效应,且GARCH模型能够较好地拟合汇改后的人民币汇率数据.
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| 关 键 词： | 人民币汇率 波动率 GARCH模型 |
The Research of the Fluctuation Rules of USD/RMB Exchange Rate Series Based on GARCH Model |
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| LUO Xun,WU Jian-hong.The Research of the Fluctuation Rules of USD/RMB Exchange Rate Series Based on GARCH Model[J].Application of Statistics and Management,2009,28(2). |
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| Authors: | LUO Xun WU Jian-hong |
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| Abstract: | With the reforms of China's foreign exchanges system,the fluctuations of the foreign exchange are perplexed.It takes on clusting and fat tail phenomenon of the volatility in the foreign exchange market,and the new series of ARCH models can simulate the time series much better.In this essay,1069 data of USD/RMB exchange rate series are selected,from January 2nd 2003 to April 20th 2007,and GARCH(1,1)model is applied to investigate the fluctuation rules of USD/RMB exchange rate series. |
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| Keywords: | exchange rate of RMB volatility GARCH model |
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