基于GARCH模型的外汇投资组合应用

The application of foreign exchange portfolio selection based on GARCH model

对于外汇市场主要7个货币对欧元/美元,英镑/美元,美元/瑞士法郎,美元/日元,澳元/美元,美元/加元,纽元/美元的汇率运用时间序列分析方法,分别运用GARCH模型对汇率进行建模预测,计算得到收益期望,以GARCH模型残差方差作为风险度量。对投资过程中有无杠杆,运用马可维茨的"均值-方差"模型进行投资决策,得到下一日的投资策略。

This article uses time series model to analyze theforeign exchange rate of seven main cur-rencies, which contain EUR/USD、GBP/USD、USD/CHF、USD/JPY、AUD/USD、USD/CAD、NZD/USD . The GARCH model was used to forecast the rate of every currency, using the rate can calcu-late the profit expectation and usingresidual variance of every model to measure the risk. When mak-ing investment strategy, whether the leverage exists or not should be considered, then the “Mean-variance” model of Markowitz’s was used to get strategy for next day.