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| 基于广义双曲线分布的人民币汇率波动性研究 | |
| 引用本文： | 吴礼斌,张晓芳. 基于广义双曲线分布的人民币汇率波动性研究[J]. 长安大学学报(社会科学版), 2016, 0(4): 62-67 |
| 作者姓名： | 吴礼斌 张晓芳 |
| 作者单位： | 安徽财经大学 数量经济研究所，安徽 蚌埠 233030 |
| 摘 要： | 针对人民币汇率的波动性问题，运用广义双曲线分布，对2006年1月4日到2015年7月24日美元兑人民币汇率的波动特征进行实证分析。研究认为，人民币汇率不仅具有显著的“尖峰厚尾”特点，而且具有波动的非对称性和集群性特征，同时发现GH分布能较为准确地描述和呈现美元兑人民币汇率收益率波动状况的分布情况。 |
| 关 键 词： | 人民币汇率 广义双曲线分布 波动性 波动率过滤模型 |
Research on RMB exchange rate volatility based on GH distribution |
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| WU Li-bin,ZHANG Xiao-fang. Research on RMB exchange rate volatility based on GH distribution[J]. Journal of Chang'an University(Social Sciences Edition), 2016, 0(4): 62-67 | |
| Authors: | WU Li-bin ZHANG Xiao-fang |
| Affiliation: | Institute of Quantitative Economics, Anhui university of Finance and Economics, Bengbu 233030, Anhui, China |
| Abstract: | Regarding the volatility of RMB exchange rate, this paper investigated the characteristics of US$/RMB exchange rate volatility from January 4, 2006 to July 24, 2015, using generalized hyperbolic〖JP〗 (GH) distribution. It is found that RMB exchange rate not only has the significant “leptokurtosis and fat tail” characteristics, but also has fluctuating asymmetry and clustering characteristics. At the same time, it is found that GH distribution can describe and present the distribution of US$/RMB exchange rate volatility precisely. |
| Keywords: | RMB exchange rate generalized hyperbolic (GH) distribution volatility volatility filtering model |
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