Analysis of the USD/JPY and EUR/JPY Exchange Rates Using Multifractal Analysis and Extreme Value Theory

We performed a multifractal analysis using wavelet transform to detect the changes in the fractality of the USD/JPY and EUR/JPY exchange rates, and predicted their extreme values using extreme value theory. After the 1997 Asian financial crisis, the USD/JPY and EUR/JPY became multifractal, then the USD/JPY became monofractal and stable, and yen depreciation was observed. However, the EUR/JPY became multifractal and unstable, and a strong yen depreciation was observed. The coherence between the USD/JPY and EUR/JPY was strong between 1995 and 2000. After the 2007-2008 financial crisis, the USD/JPY became monofractal and stable, and yen appreciation was observed. However, the EUR/JPY became multifractal and unstable, and strong yen appreciation was observed. Various diagnostic plots for assessing the accuracy of the GP model fitted to USD/JPY and EUR/JPY are shown, and all the diagnostic plots support the fitted GP model. The shape parameters of USD/JPY and EUR/JPY were close to zero, therefore the USD/JPY and EUR/JPY did not have finite upper limits. We predicted the maximum return level for the return periods of 10, 20, 50, 100, 350, and 500 years and their respective 95% confidence intervals (CI). As a result, the 10-year and 100-year return levels for USD/JPY were estimated to be 149.6 and 164.8, with 95% CI [143.2, 156.0] and [149.4, 180.1], respectively.

ARMA模型在美元兑日元汇率的应用

ARMA模型是一种最常见的时间序列模型,它广泛的应用到各种金融行业。以美元兑日元的汇价为例,讨论ARMA模型在汇率变化的应用及汇价短期预测,希望为企业和投资者在进行相关决策时提供有益的参考。

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2004年,美联储虽然五次提高美元利率,但均没有改变美元的颓势。美元兑世界主要货币大幅贬值。文章分阶段细述了2004年美元兑欧元、美元兑日元的具体走势及相关影响因素。展望2005年,文章认为美元可能结束跌势,欧元将逐步回稳,日元将保持小幅升值。

2004年国际外汇,黄金市场分析预测

2004年第一季度,国际外汇市场各主要货币基本上延续了2003年走势,波动较大,总体呈现美元较弱、欧元强势不稳、日元升势较强的格局;国际金价在继续保持1999年以来持续走高的态势下出现了较大幅度波动。展望后市,文章对美元表示谨慎乐观,认为欧元可能出现宽幅震荡,日元可能继续呈现升势,国际金价全年可能继续走高。