SN-ARMA(u,v)-GARCH(p,q)模型对澳元兑美元汇率日收益率拟合研究  

Analysis of SN-AR-GARCH Model for Return of Exchange Rate of ASD against USD

作　　者：徐燕[1] 陈平雁[1] 

机构地区：[1]南方医科大学公共卫生与热带医学学院生物统计学系,广州510515

出　　处：《数理医药学杂志》2013年第1期57-59,共3页Journal of Mathematical Medicine

基　　金：国家自然科学基金资助项目(81072386)

摘　　要：澳元被称为"商品货币",其走势变化充分反映了市场价格的变化趋势,通过研究其汇率波动可以对分析和预测未来国际经济短期走势提供有用的参考,并为我国货币的市场化发展提供参考。通过对澳元兑美元汇率日收益率数据进行分析,显示具有多峰和偏态分布特征,采用AR-GARCH模型将导致参数估计可靠性降低,假设新息分布服从偏正态分布,构造基于偏正态分布的SN-AR-GARCH模型,实验结果显示该模型描述澳元兑美元汇率日收益率的波动趋势拟合效果好。ASD was called ＇commodity currency＇,and its trend fully reflected the changes of market price.It＇s useful for analysis and forecast of the short-term future international economic trend and development of RMB currency market.The analysis showed that return had the characteristics of multimodal and skewed distribution which was disobedience of AR-ARCH model＇s assumption.SN-AR-ARCH model could be well fit for the characteristics of the fluctuations.The result showed good fitting the trend of the return of exchange rate of AUD against USD by SN-AR-GARCH model.

关 键 词：自回归模型 广义自回归条件异方差模型 偏正态分布 收益率 

分 类 号：R311[医药卫生—基础医学]