The Forecasting of RMB Exchange Rate Based on GARCH Model

被引：0
|
作者：
Liu, Siyue [1 ]
Li, Qiuyu [1 ]
机构：
[1] Wuhan Univ, Econ & Management Sch, Wuhan 430072, Peoples R China
来源：
PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2009 | 2009年
关键词：
exchange rate forecast; GARCH model; the residual error examination;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper establishes the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) for the forecasting of RMB exchange rate against US dollar after the exchange rate reform, then examining the residual error and forecasting error. The result indicates that the GARCH model can accurately forecast the change of RMB exchange rate at the present stage.
引用
收藏
页码：33 / 38
页数：6
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