基于GJR-GARCH模型的港币汇率波动不对称性研究  

Study on Asymmetry of Volatility of HK Exchange Rate Based on GJR-GARCH

作　　者：赵晓波[1] 周雅瑞[1] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036

出　　处：《南京财经大学学报》2010年第2期39-44,共6页Journal of Nanjing University of Finance and Economics

摘　　要：本文对港币月度实际有效汇率1964.1—2009.6间收益率数据进行线性测试和非线性ARCH效应检验,然后建立并估计AR-GJR-GARCH模型,并使用标准化残差的残留ARCH效应检验、高阶GARCH检验和参数一致性检验来判断模型设定的结果,最后通过描绘出的信息反应曲线得出在好消息与坏消息下,港币汇率的波动呈现显著的非对称性特点的结论。In this paper,linearity tests and nonlinear tests for ARCH are applied to monthly real effective exchange rate of HK between 1964.1—2009.6,and then after AR-GJR-GARCH model is specified and estimated,tests of standardized residuals for remaining ARCH,tests for higher-order GARCH and tests of parameter constancy are adopted to judge the result of model specification.At last,in the good news and bad news,a conclusion about the significantly asymmetric characteristic of volatility of HK Exchange can be obtained through the news impact curve at the end of the paper.

关 键 词：AR-GJR-GARCH模型 非线性ARCH效应检验 诊断检验 信息反应曲线 

分 类 号：F224.0[经济管理—国民经济] F830.92