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基于GARCH模型的欧元/美元汇率的预测

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摘要 本文对今年来欧元兑美元的日收盘价进行数据分析,发现欧元/美元汇率日波动不服从正态分布,而且汇率的时间序列有波动异方差性,根据近年来欧元/美元的汇率数据特征,建立欧元/美元汇率的GARCH(1,1)预测模型,实证分析所建模型的拟合度较高,适应做短期预测。
出处 《金融经济(下半月)》 2014年第3期127-129,共3页
基金 广西研究生教育创新计划资助项目(YC-SZ2013014)
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