基于小波变换的LMSV模型对人民币汇率波动的研究

An Empirical Research on LMSV Model of the RMB Exchange Rate Fluctuations Based on Wavelet Transform

将小波引入到LMSV模型波动长记忆性的估计与检验中,提出了基于小波变换的LMSV模型波动长记忆性的伪极大似然估计法和波动长记忆性的检验方法,并对各汇率波动序列长记忆效应的大小程度进行了验证.结果表明各汇率波动序列存在长记忆效应,人民币对美元的汇率波动序列受历史信息的影响程度最高.

Wavelet was introduced to the I.MS model to estimate and test the long memory of volatility, and a pseudo-maximum likelihood estimation method based on wavelet transform long memory of volatility and the test method of long memory volatility were proposed. The size of long memory effects for different ex- change rate volatility sequence was verified . The results show the existence of long memory effects for exchange rate fluctuations sequence. RMB plays an important part in the dollar exchange rate fluctuations sequence, which is influenced by historical information.