| 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 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Renminbi exchange rate forecast based on GARCH M Model |
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YAN Hai feng, XIE Li li
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| 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 in reality but because of few testing data, the forecast can not reach accuracy destination. |
| Key words: exchange rate GARCH M Model exchange rate forecast equilibrium exchange rate time series |
