基于GARCH族模型人民币离岸价格收益率波动预测分析  

Prediction Analysis of Offshore Exchange Return Rate Volatility of RMB Based on GARCH Family Models

作　　者：耿春燕 

机构地区：[1]重庆建筑工程职业学院,经济管理与公共事务学院,重庆

出　　处：《统计学与应用》2023年第6期1667-1674,共8页Statistical and Application

摘　　要：我国是个外贸依存度很高的国家,汇率的较大波动会对我国经济造成重大影响,准确预测汇率波动性能够为降低中国企业的外贸、投资的汇率风险规避提供一定的参考价值。因此,本文选取了2022年1月3日~2023年7月15日香港美元人民币市场的每日收盘价格,用2022年1月3日至2022年6月30日的样本内数据建模,并用模型进行2023年7月3日至2023年7月21日的样本外预测以评价模型的预测能力。研究结果显示,IGARCH模型是数据拟合模型最优的,反映了人民币离岸价格收益波动率受冲击影响持久。China is a country with a high degree of dependence on foreign trade, and the large fluctuation of the exchange rate will have a significant impact on China’s economy, and accurate prediction of ex-change rate volatility can provide a certain reference value for reducing the exchange rate risk of foreign trade and investment of Chinese enterprises. Therefore, this paper selects the daily closing price of the Hong Kong exchange return rate of RMB/USD from January 3, 2022 to July 15, 2023 as the sample data, using the in-sample data from January 3, 2022 to June 30, 2022 to model, and us-ing the out-sample data from July 3, 2023 to July 21, 2023 to forecast to evaluate the predictive ability of the model. The results show that the IGARCH model is the best fitting model, reflecting the long-lasting impact of offshore exchange return rate volatility of RMB.

关 键 词：收益率波动 ARCH效应 GARCH族模型 预测能力 

分 类 号：F83[经济管理—金融学]