基于GARCH模型的中美汇率实证分析

An Empirical Analysis of Sino-US Exchange Rate Based on GARCH Model

汇率制度改革后,加强人民币汇率风险管理已成为摆在各大经济主体面前的重大课题.基于2010年1月1日至2012年5月10日的美元对人民币日汇率值,利用广义条件异方差自回归(GARCH)模型,对中美汇率日数据进行处理与检验,得到了残差存在异方差性.在此基础上建立了汇率GARCH模型,实证分析表明精确性高.

After reform of exchange rate system, strengthening of the RMB exchange rate risk management has become a major issue in the face of major economic entities. ＇Based on the data of exchange rate about dollar against RMB from Jan. 1,2010 to Feb.10,2012,this paper establishes a Generalized Autoregressive Conditional Heteroskedastic Model. The empirical analysis of Sino-US exchange rate shows that the model is accur^te.