基于GARCH模型的人民币兑欧元汇率的预测

Prediction of the Exchange Rate of the RMB Against to the Euro Based on GARCH Model

随着"一带一路"战略的不断推进,我国与欧元国家的贸易关系加强,人民币兑欧元的汇率必然受到影响,因而选择恰当的模型对汇率的浮动趋势进行预测,可以为未来经济政策提供依据,降低风险。GARCH模型族适合用于金融数据的预测,在文章中首先分析了GARCH模型预测人民币兑欧元汇率的可行性,通过检验分析,证实了人民币兑欧元汇率数据具有ARCH效应。其次建立了GARCH(1,1)模型,通过对预测结果的分析,认为模型具有较高的预测精度。

With the advancement of One Belt And One Road,to strengthen trade relations between China and the euro countries,the RMB exchange rate against the euro will inevitably be affected. So choose the right model to forecast the trend of exchange rate floating,can provide the basis for the future of economic policy,reduce risk. The GARCH model is suitable to predict the financial data. In this paper,we firstly analyzed the feasibility of using the GARCH model to predict the exchange rate of the RMB against the euro. Through the test and the analysis,we confirmed that the exchange rate data has the ARCH effect,and then established the GARCH（ 1,1） model. Through the analysis of the forecast results,we consider that the model has high forecast precision.