| 基于R/S检验、ARFIMA模型和小波方差的人民币汇率长记忆性检验 |
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| 引用本文： | 朱新玲,黎鹏. 基于R/S检验、ARFIMA模型和小波方差的人民币汇率长记忆性检验[J]. 武汉科技大学学报(自然科学版), 2011, 34(2) |
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| 作者姓名： | 朱新玲 黎鹏 |
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| 作者单位： | 1. 武汉科技大学管理学院,湖北,武汉,430081
2. 中南民族大学经济学院,湖北,武汉,430074 |
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| 基金项目： | 教育部人文社会科学研究项目，武汉科技大学基金资助项目 |
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| 摘 要： | 分别应用R/S检验、ARFIMA模型和小波方差对人民币兑美元名义汇率收益率序列的长记忆性进行检验.根据R/S统计量计算出Hurst指数为0.573 745 1,采用ARFIMA(2,d,1)模型对人民币汇率收益率序列进行拟合的效果比较好,其分数差分参数为0.145 7,利用Haar小波对人民币汇率波动绝对值收益率序列进行最大重复离散小波变换,得出其长记忆性参数为0.393 1.3种方法的研究结果均表明人民币兑美元名义汇率收益率序列存在长记忆性.
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| 关 键 词： | 汇率波动 长记忆性 R/S检验 ARFIMA模型 小波方差 |
Test of long memory characteristics of RMB exchange rate by R/S statistics,ARFIMA model and wavelet variance |
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| Zhu Xinling,Li Peng. Test of long memory characteristics of RMB exchange rate by R/S statistics,ARFIMA model and wavelet variance[J]. Journal of Wuhan University of Science and Technology(Natural Science Edition), 2011, 34(2) |
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| Authors: | Zhu Xinling Li Peng |
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| Affiliation: | Zhu Xinling1,Li Peng2 (1.College of Management,Wuhan University of Science and Technology,Wuhan 430081,China,2.School of Economics,South-central University of Nationalities,Wuhan 430074,China) |
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| Abstract: | This paper determines the long memory characteristics of the USD/RMB nominal exchange rate by R/S statistics,ARFIMA model and wavelet variance.According to the R/S statistics,the Hurst index is calculated to be 0.573 745 1.The result shows that the fitting effect of ARFIMA(2,d,1) model is better and the parameter of fractional difference is 0.145 7.MODWT(maximal overlap discrete wavelet transform) is carried out of absolute returns series of exchange rate fluctuations by Harr wavelet and the long memory par... |
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| Keywords: | exchange rate fluctuation long memory characteristics R/S statistics ARFIMA model wavelet variance |
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