人民币汇率厚尾特征及VAR估计

针对人民币汇率收益率序列的厚尾性特征,基于EGARCH模型得到标准化的收益率序列,建立GPD模型对标准化收益率序列的尾部进行拟合,并得到相应的VAR估计值;结论证明:人民币收益率序列存在双厚尾特征,故对于人民币汇率的投资者,无论做多头还是空头,都面临着较大的自身风险和交易对手风险。

Heavy Tail Characteristics and VAR Estimation of RMB Exchange Rate

The paper aimed at the heavy tailed characteristic of the RMB exchange rate sequence,based on the EGARCH model to get the standard rate of return sequence, established a GPD model to fit the tail of the normalized yield sequence, and got the corresponding estimation of VAR. The results showed that the sequence of RMB returns had the characteristic of bilateral heavy tail. Thus, for the investors of RMB exchange rate, they would face a greater risk of their own and counterparty whether to do long or short.