Forecasting and Analysis of Exchange Rate of RMB to USD

被引：0
|
作者：
Wang Dan [1 ]
Xiao Chunlai [2 ]
机构：
[1] North China Univ Technol, Coll Econ & Management, Beijing 100144, Peoples R China
[2] North China Univ Technol, Coll Sci, Beijing 100144, Peoples R China
来源：
CONTEMPORARY INNOVATION AND DEVELOPMENT IN STATISTICAL SCIENCE | 2012年
关键词：
ARMA model; GARCH (1,1) model; GARCH-M model; Forecast of exchange rate;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The GARCH-M model based on the data of mid-rate of RMB to US dollars between 1st Jan, 2006 to 4th Jan 2011 by its return rate was adopted in this paper, and the return rate and exchange rate between 5th Jan 2011 and 17th Apr 2012 was forecasted. The result showed that the GARCH-M model, which was set up by return rate series, has good forecasting effects on both the return rate series and exchange rate series. Therefore, the result was arrived in this paper that GARCH-M model is suitable to forecast the exchange rate of RMB to US dollars and the forecasting effect is very good.
引用
收藏
页码：441 / 446
页数：6
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