Research on the GARCH model optimized by the ant colony algorithm of forecast exchange rate

摘要：

In 2005, after the RMB exchange rate reform, the RMBUSD exchange rate has been caused for concern. This article is based on the use of GARCH models to establish the prediction model of RMB-USD exchange rate and a new stimulated evolutionary optimization algorithm - ant colony algorithm applied to the model, hoping to provide a RMB-USD exchange rate for the model to predict accurately. We analyze the prediction results of GARCH model and MMAS-GARCH model, and eventually proved the MMAS-GARCH model is better than the GARCH model in the forecast of the RMB-USD exchange rate.

关键词： forecast exchange rate GARCH model ant colony algorithm optimization

作者: Hui Xiaofeng Wang Junjian Cai Jingshu

作者单位: School of management, Harbin institute of technology (HIT), Harbin 150001, China Supported by the national natural science foundation of China 70773028

会议类型: 国际会议

会议名称: 2009 International Forum on Computer Science-Technology and Applications(2009年国际计算机科学技术与应用论坛 IFCSTA 2009)

会议地点: 重庆

会议语种:英文

页码: 380-383

在线出版日期: 2009-12-25（万方平台首次上网日期，不代表论文的发表时间）