摘要
本文利用非对称ARCH类模型对1994年1月1日至2007年8月24日的人民币/美元的日汇率序列的波动特性进行了计量检验,检验结果表明在此期间汇率序列的波动存在显著的条件异方差性和波动过程的非对称性,利空消息引起的汇率波动大于利好消息引起的汇率波动。
This paper uses asymmetric ARCH models to test the fluctuation of daily exchange rates series of RMB/ dollar from January 11994 to August 242007. The empirical results show that the daily exchange rates series has conditional heteroscedasticity and asymmetry in fluctuation during this period, and the bad news has greater impact on the fluctuation of daily exchange rate series than good news.
出处
《统计教育》
2008年第7期31-33,共3页
Statistical education
