基于GARCH模型的人民币汇率波段动态特征研究
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引用本文:张 桓1,吴 可2.基于GARCH模型的人民币汇率波段动态特征研究[J].经济数学,2015,(4):93-98
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作者单位
张 桓1,吴 可2 (1.武昌实验中学,湖北 武汉 430000
2.华中科技大学 经济学院,湖北 武汉 430074) 
中文摘要:依据人民币兑美元汇率的长期走势所示性态,对人民币汇率时序数据分段建立GARCH模型,实证检验了人民币汇率的波段动态特征.结果表明,人民币汇率时序数据不服从正态分布,波动具有明显的集聚性,序列前段波动长记忆性明显,中后期波动尖峰厚尾特性更加显著,依据分析,央行应采取适当的调控措施和平稳的汇改政策抑制人民币汇率过度波动.
中文关键词:GARCH模型  人民币汇率  波段动态特征
 
Research on Periodical Dynamic Characteristics of RMB Exchange Rate Based on GARCH Model
Abstract:The exchange rate, which always has an deep influence on macro-economy, is an vital variable, and to understand the dynamic characteristics of the exchange rate is important for a country's economic research. We established the GARCH model in several segments for RMB exchange rate time series according to the long-term trend of the exchange rate of RMB against the US dollar so as to inspect the dynamic characteristics of the RMB exchange rate. The results show that the RMB exchange rate time series don’t subject to normal distribution and it is obvious that the volatility has the characteristic of agglomeration. Anterior sequence of the time series has long memory volatility characteristic and it is more significant that the late period sequence has aiguille large remaining part. According to the analysis, the central bank should take appropriate control measures and stable reform policies to restrain excessive volatility of the RMB exchange.
keywords:GARCH model  RMB exchange rate  dynamic characteristics of stages
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