| Issue |
SHS Web Conf.
Volume 154, 2023
2022 International Conference on Public Service, Economic Management and Sustainable Development (PESD 2022)
|
|
|---|---|---|
| Article Number | 02016 | |
| Number of page(s) | 4 | |
| Section | 2. Economic Management and Production Development Planning | |
| DOI | https://doi.org/10.1051/shsconf/202315402016 | |
| Published online | 11 January 2023 | |
Modeling RMB Exchange Rate Volatility – Application of GARCH Family Models
University of Reading
* Corresponding author: kw803812@student.reading.ac.uk
The exchange rate risk caused by the two-way fluctuation of the RMB exchange rate will bring many effects. The volatility of the foreign exchange market is the most common feature of the financial market. Therefore, the research on the volatility of the RMB exchange rate is of great significance in economic and financial aspects. Through statistical analysis of the RMB exchange rate data, an ARMA model was established to eliminate the auto-correlation of the sequence, and the GARCH family model was combined to fit the data. Comparing different distribution hypotheses, the EGARCH model under the GED distribution determined by the information criterion can match well the financial time series peak and thick tail characteristics. That the RMB exchange rate has agglomeration volatility and leverage effect is also shown, and provides relevant suggestions for preventing RMB exchange rate risks.
© The Authors, published by EDP Sciences, 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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