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基于EWMA组合模型的人民币汇率的动态预测 被引量：1

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摘要 文章提出指数加权移动平均(EWMA)组合模型克服了传统组合方法没有考虑时序数据间时隔远近而相互影响不同的动态关联缺陷。对汇改后人民币汇率实证分析,结果发现EWMA组合模型比被组合的广义自回归条件异方差(GARCH)模型和均值回复(Mean Reversion)模型有更好的预测精度,能够更加逼真把握金融时序的未来走势。
作者 闫树熙 肖庆宪
机构地区 上海理工大学管理学院
出处 《统计与决策》 CSSCI 北大核心 2008年第16期133-136,共4页 Statistics & Decision
基金 上海市重点学科建设资助项目(T0502)
关键词 人民币汇率 预测 GARCH模型 Mean Reversion模型 EWMA组合模型
分类号 F830.92 [经济管理—金融学]
  • 相关文献

参考文献10

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二级参考文献6

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共引文献35

同被引文献15

  • 1于志军,杨善林.基于误差校正的GARCH股票价格预测模型[J].中国管理科学,2013,21(S1):341-345. 被引量：15
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  • 5Andersen T G, Bollerslev T, Diebold F X, Ebens H. The dis- tribution of realized stock return volatility [ J ]. Journal of Fi- nancial Economics ,2001,61 ( 1 ) :43 -76.
  • 6Chang C L, McAleer M, Tansuchat R. Analyzing and fore- casting volatility spillovers, asymmetries and hedging in ma- jor oil markets [ J ]. Energy Economics, 2014,32 : 1445 - 1455.
  • 7Hlouskova J,Schmidheiny K,Wagner M. Muhistep predic- tions for multivariate GARCH models: closed form solution and the value for portfolio management [ J ]. Empirical Fi-nance,2009,16:330 -336.
  • 8Feng H,Li S. Active disturbance rejection control based on weighed - moving - average - state - observer [ J ]. J Math Anal Appl,2014(411 ) :354 - 361.
  • 9Agirre - Basurko E, Ibarra - Berastegi G, Madariagac 1. Regression and multilayer perceptron - based models to forecast hourly 03 and NO= levels in the Bilbao area [ J ]. Environmental Modelling & Software, 2006 ( 21 ) : 430 - 446.
  • 10杨娴,陆凤彬,汪寿阳.国际有色金属期货市场VaR和ES风险度量功效的比较[J].系统工程理论与实践,2011,31(9):1645-1651. 被引量：10

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统计与决策
2008年 第16期

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