GARCH Modelling Based on GMDH Algorithm and Its Application in Studying Volatility of Exchange Rate

摘要：

　　Exchange rate forecasting is an important subject in financial market.This article built a GARCH modelling based on GMDH algorithm.There GMDH algorithm was used to decide the order and the parameter of GARCH modelling.Then this modelling was used to study the Volatility of Exchange Rate,and compare the VaR value with GARCH(1,1).The results show that the GARCH modelling based on GMDH algorithm can more accurately reflect the volatility of exchange rate.

作者: QIUMIN LI YIXIANG TIAN GAOXUN ZHANG

作者单位: School of management and Economics,University of Electronic Science and Technology of China,No.2006,Xiyuan Ave,West Hi-Tech Zone,611731,Chengdu,Sichuan,P.R.China

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-5

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）