| 基于GARCH M模型的人民币汇率预测 |
| |
| 引用本文： | 闫海峰,谢莉莉.基于GARCH M模型的人民币汇率预测[J].重庆工商大学学报(社会科学版),2009,26(4):41-44. |
| |
| 作者姓名： | 闫海峰 谢莉莉 |
| |
| 作者单位： | 南京财经大学金融学院,江苏南京,210046 |
| |
| 基金项目： | 国家自然科学基金项目:下滑风险度量下组合策略的选择理论及其应用(70871058) |
| |
| 摘 要： | 在经济全球化的形势下,人民币的走势是关系到中国外贸企业生存、国际地位以及国家金融环境的重要因素,因此对人民币/美元汇率进行预测是十分有必要的。通过对GARCH-M模型在预测人民币美元汇率的可行性,时间序列存在异方差性和自相关性的论证,建立相应的GARCH(1,1)-M模型,并运用模型对美元/人民币汇率进行预测。表明在现实中可以运用GARCH-M模型进行汇率趋势预测,但是由于检验的数据较少,所以不能达到精确的预期目的。
|
| 关 键 词： | 汇率 GARCH-M模型 汇率预测 均衡汇率 时间序列 |
Renminbi exchange rate forecast based on GARCH M Model |
| |
| YAN Hai feng,XIE Li li.Renminbi exchange rate forecast based on GARCH M Model[J].Journal of Chongqing Technology and Business University Social Science Edition,2009,26(4):41-44. |
| |
| Authors: | YAN Hai feng XIE Li li |
| |
| Institution: | School of Finance;Nanjing University of Finance and Economics;Jiangsu Nanjing 210046;China |
| |
| Abstract: | Under economic globalization,the situation of Renminbi is related to the existence,international status and financial environment of Chinese foreign trade enterprises,thus,it is necessary to forecast Renminbi/US dollar exchange rate.Based on the demonstration of the feasibility,heteroscedasticity and self-dependablity of time series,related GARCH(1,1) Model is set up,the model is used to forecast US dollar/Renminbi exchange rate.The results show that GARCH-M Model can be used to forecast the exchange rate i... |
| |
| Keywords: | exchange rate GARCH-M Model exchange rate forecast equilibrium exchange rate time series |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《重庆工商大学学报(社会科学版)》浏览原始摘要信息 |
| 点击此处可从《重庆工商大学学报(社会科学版)》下载免费的PDF全文 |
|
