人民币汇率收益率及收益波动率长记忆性特征研究

A Study on Long Memory Characteristics of RMB Exchange Rate Return and Return Volatility

论文利用经典R/S分析法和ARFIMA模型对人民币汇率收益率序列及收益波动率序列的长记忆性进行了研究。结果表明人民币汇率收益率及收益波动率均存在长记忆性,且波动率序列的长记忆性特征明显强于收益率序列。

The paper studies the long memory of RMB exchange rate return series and return volatility series by the R/S statistics method and the ARFIMA model. The result shows that both series have the characteristics of long memory,and the long memory characteristic of return volatility series is significantly stronger than return series.