Forecasting and Analysis of Exchange Rate of RMB to USD

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.

关键词： ARMA model GARCH (1,1) model GARCH-M model Forecast of exchange rate

作者: WANG Dan XIAO Chunlai

作者单位: College of Economics and Management,North China University of Technology,Beijing,P.R.China,100144 College of Sciences,North China University of Technology,Beijing,P.R.China,100144

会议类型: 国际会议

会议名称: The 5th International Institute of Statistics & Management Engineering Symposium (第五届(2012)国际统计与管理工程学术研讨会(IISMES2012))

会议地点: 青岛

会议语种:英文

页码: 441-446

在线出版日期: 2012-07-20（万方平台首次上网日期，不代表论文的发表时间）