Modeling RMB Exchange Rate Volatility – Application of GARCH Family Models
نویسندگان
چکیده
The exchange rate risk caused by the two-way fluctuation of RMB will bring many effects. volatility foreign market is most common feature financial market. Therefore, research on great significance in economic and aspects. Through statistical analysis data, an ARMA model was established to eliminate auto-correlation sequence, GARCH family combined fit data. Comparing different distribution hypotheses, EGARCH under GED determined information criterion can match well time series peak thick tail characteristics. That has agglomeration leverage effect also shown, provides relevant suggestions for preventing risks.
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ژورنال
عنوان ژورنال: SHS web of conferences
سال: 2023
ISSN: ['2261-2424', '2416-5182']
DOI: https://doi.org/10.1051/shsconf/202315402016