基于GARCH模型的人民币汇率波动性研究

Study of RMB Exchange Rate Volatility Based on GARCH Model

选取2011—2016年间汇率日线的1 213个观测数据,运用GARCH(1,1)、EGARCH模型对人民币汇率的波动情况进行研究.数据分析显示,人民币汇率具有明显的时间可变性、集群性和杠杆性的特点,针对人民币汇率的波动性提出应控制汇率变动节奏、完善人民币汇率制度和汇率衍生品市场等政策建议.

By selecting 1 213 observation data of daily exchange rate from 2011 to 2016, the RMB exchange rate volatility was studied based on GARCH （1,1） and EGARCH models. The data analysis shows that RMB exchange rate have characteristics of time variability, clustering and leverage. Policy suggestions that controlling the change rhythm of exchange rate, improving the RMB exchange rate system and RMB derivative market were put forward.