基于ARMA模型的汇率走势预测及在商业银行外汇理财业务中的应用  

Research on Trend Predication of Foreign Exchange and Its Application to Foreign Exchange Financing Business of Commercial Banks Based on Model ARMA

作　　者：马莉[1] 徐庆宏[1] 

机构地区：[1]贵州财经学院金融学院,贵阳550004

出　　处：《西南师范大学学报（自然科学版）》2009年第2期114-118,共5页Journal of Southwest China Normal University(Natural Science Edition)

摘　　要：汇率的变动,将对金融机构的外汇管理业务造成直接影响.由于影响汇率及其波动幅度的因素十分复杂,汇率波动频率较高,对汇率进行准确预测一直是一项十分困难的工作.近年来,ARMA模型开始被广泛地用于对变动频率较高的金融时间序列建模,它能较好地抓住此类时间序列的动态特征.以人民币汇率变动的历史数据为样本,通过建立MA(2)模型对未来的人民币汇率变动进行预测,以解决其在商业银行外汇理财业务中的应用问题.The fluctuations of foreign exchange rate have a direct affection on the business of foreign exchange rate management for the financial institutions. The accurate prediction of foreign exchange rate has always been a very tough job due to the complex factors which influence the exchange rate and its fluctua- tion range and fluctuation frequency. In recent years, model ARMA has been used widely to build model for the financial time series. This model can embrace more effectively the dynamic character of this time series. Based on the historical data of the fluctuation of RMB, by building the model MA（2） for the future prediction of RMB exchange rate, this thesis is going to solve the application problems of foreign exchange financing business in commercial banks.

关 键 词：金融时间序列 汇率预测 ARMA模型 

分 类 号：F830.33[经济管理—金融学]