时间序列分析方法及人民币汇率预测的应用研究  

Time series analysis applied in prediction of RMB′s exchange rate

作　　者：戴晓枫[1] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海理工大学学报》2005年第4期341-344,共4页Journal of University of Shanghai For Science and Technology

基　　金：全国统计科学研究计划项目(LX03-Y26);上海市教委社会科学基金项目(04EE41)

摘　　要：在简要介绍时间序列模型的基础上,使用人民币/美元的日汇率值进行实证研究,建立相应的ARIMA模型和EGARCH模型并进行预测和评价.研究结果表明,EGARCH模型的预测结果较ARIMA模型理想,适合描述人民币/美元汇率的变动趋势.Based on the application of time series model, some empirical studies into the daily data on RMB exchange rate are made. ARIMA and EGARCH models are built to simulate and forecast the pattern of the rate. The conclusion is that the predicted result of EGARCH model is more fitted than that of ARIMA model and the EGARCH model can describe the dynamic characteristics of RMB exchange rate more oppropriately.

关 键 词：汇率预测 时间序列分析 ARIMA模型 EGARCH模型 

分 类 号：F822.0[经济管理—财政学]