摘要
近来,日元对美元汇率的变动日益成为影响东亚经济增长与稳定的一个极为重要因素。因此,本文基于Eviews软件系统,运用GARCH模型分析方法模拟日元兑美元序列的波动情况。结果表明:日元兑美元序列存在自相关性和异方差性,用GARCH(1,1)模型能较好的模拟该序列的波动特征。
Recently, the exchange rate of yen against dollar has become an important factor which influences the economic growth and stabilization of East Asia. This article fits for exchange rate of yen against dollar Using Eviews. The result shows that the series of yen against dollar is autocorrelation and heteroscedasticity. It fits the series by GARCH （1,1） very well.
出处
《上海商学院学报》
2009年第1期79-81,共3页
Business Economic Review
