汇率收益率短记忆性与长记忆性特征的研究

A Study on Short and Long Memory Characteristic of Exchange Rate Return

采用Q检验,经典R/S分析法以及ARFIMA模型对人民币和欧元汇率收益率序列的记忆程度进行研究,结果表明人民币汇率收益率虽然不存在显著的短记忆性,但长记忆特征比较显著,而欧元汇率收益率虽然存在短记忆特征,但不存在显著地长记忆性,说明了欧元外汇市场的成熟和人民币外汇市场的低效.因此,对两种汇率收益率序列的拟合预测需建立不同的数学模型.

The paper determines the memory characteristics of RMB/USD and EURO/USD exchange rate return by Q test, R/S statistics and ARFIMA model. The results are as follows： RMB exchange rate return has significantly long memory while EURO does＇t; EURO exchange rate return has short memory while RMB does＇t. This illustrates that RMB foreign exchange market is more inefficient than EURO foreign exchange market. So we should establish different mathematical models to fit and forecast the two kinds of exchange rate returns.