| 基于人工智能的人民币/美元汇率组合预测模型 |
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| 引用本文： | 张延利.基于人工智能的人民币/美元汇率组合预测模型[J].陕西理工学院学报(自然科学版),2014(4):74-78. |
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| 作者姓名： | 张延利 |
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| 作者单位： | 泸州职业技术学院基础部,四川泸州646005 |
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| 基金项目： | 基金项目：四川省教育厅科学研究计划项目（14ZB0397） |
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| 摘 要： | 针对在人民币/美元汇率收益率的尖峰厚尾、波动性聚集性与杠杆效应等特征,单个预测模型往往难以完全将这些数据特点完全反应,为更有效地利用各个模型的优点,利用协整关系和神经网络的非线性特点将不同的单一模型进行组合。实证表明:组合模型能产生更好的预测精度。
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| 关 键 词： | 人民币/美元汇率 GARCH(1 1) 协整 组合预测 |
Integrated forecasting model of RMB/USD exchange rate based on artificial intelligence |
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| ZHANG Yan-li.Integrated forecasting model of RMB/USD exchange rate based on artificial intelligence[J].Journal of Shananxi University of Technology:Natural Science Edition,2014(4):74-78. |
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| Authors: | ZHANG Yan-li |
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| Institution: | ZHANG Yan-li ( Department of Basic Course, Luzhou Vocational and Technical College, Luzhou 646005, China) |
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| Abstract: | In terms of such characteristics as high-spike with fat tail,volatility clustering and leverage effect of the RMB / USD exchange rate,a single prediction model is inadequate to complete the data characteristics. For more efficient use of the advantages of each model,the study integrates different single model by making use of cointegration relationship and single model nonlinear characteristic of neural network The results show that the integrated model is of higher prediction accuracy than the single model. |
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| Keywords: | RMB / USD exchange rate GARCH（1 1）model integration combination forecast |
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