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基于EGARCH模型的人民币汇率波动性实证分析 被引量:3

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摘要 本文基于美元兑人民币中间价的高频数据,利用GARCH模型和EGARCH模型拟合分析人民币兑美元汇率的波动特征。通过综合比较分析,EGARCH(1,2)模型拟合效果较好。由分析结果可知,人民币对美元的波动具有明显的聚集性和不对称性,可为指导投资者进行投资以及监管者制定政策提供有力的依据。
作者 叶开
出处 《经济论坛》 2015年第4期10-15,共6页 Economic Forum
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