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| 基于小波分析和GARCH模型的人民币汇率实证研究 | |
| 引用本文： | 常振海,张德生,刘薇.基于小波分析和GARCH模型的人民币汇率实证研究[J].山西大学学报(自然科学版),2009,32(3). |
| 作者姓名： | 常振海 张德生 刘薇 |
| 作者单位： | 1. 西安理工大学理学院,陕西,西安,710054;天水师范学院数学与统计学院,甘肃,天水,741000 2. 西安理工大学理学院,陕西,西安,710054 3. 天水师范学院数学与统计学院,甘肃,天水,741000 |
| 摘 要： | 文章把小波多分辨分析理论和去噪理论引入人民币/港元汇率时间序列,通过小波理论对时间序列进行了滤波去噪.然后建立了AR(1)-GARCH(1,1)拟合模型,同时检验了其波动序列不具有明显的杠杆效应,其标准抖动序列服从正态分布.最后说明结合小波滤波去噪后,提高了对波动率的预测精度. |
| 关 键 词： | 多分辨分析 阈值降噪 汇率 预测 |
Empirical Study of the RMB Exchange Rate Based on Wavelet Analysis and GARCH Model |
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| CHANG Zhen-hai,ZHANG De-sheng,LIU Wei.Empirical Study of the RMB Exchange Rate Based on Wavelet Analysis and GARCH Model[J].Journal of Shanxi University (Natural Science Edition),2009,32(3). | |
| Authors: | CHANG Zhen-hai ZHANG De-sheng LIU Wei |
| Abstract: | In this paper,wavelet-base multiresolution analysis and denoising theory were introduced into the RMB / HKD exchange rate time series to remove noise. Then AR (1)-GARCH (1,1) model was established to fit the time series,and it was found that its fluctuations sequence did not have obvious leverage effect and its standard sequence obeyed normal distribution. Finally the empirical study indicateed the method of combination of wavelet analysis theory was more accurate than traditional method. |
| Keywords: | GARCH(1 1) |
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