| 基于半参数GARCH模型的我国外汇储备形态 |
| |
| 引用本文： | 许友传,何晓光. 基于半参数GARCH模型的我国外汇储备形态[J]. 系统工程, 2010, 0(2) |
| |
| 作者姓名： | 许友传 何晓光 |
| |
| 作者单位： | 复旦大学金融研究院;广东商学院金融学院; |
| |
| 摘 要： | 基于CSMAR提供的1987年1月至2007年12月的月度外汇储备数据,首次使用半参数GARCH模型对高频月度外汇储备的动态增长机制进行了研究。研究表明半参数GARCH(1,1)模型要优于参数的GARCH(1,1)模型和其他非参数GARCH模型,半参数GARCH(1,1)能够准确地拟合我国外汇储备的分布形态和动态相依结构,同时半参数GARCH模型也提供了一种灵活描述数据分布非正态和高阶矩的途径。
|
| 关 键 词： | 外汇储备 半参数GARCH 高阶矩 |
The Forms of China's Foreign Exchange Reserve Based on Semi-parametric GARCH Model |
| |
| XU You-chuan,HE Xiao-guang. The Forms of China's Foreign Exchange Reserve Based on Semi-parametric GARCH Model[J]. Systems Engineering, 2010, 0(2) |
| |
| Authors: | XU You-chuan HE Xiao-guang |
| |
| Affiliation: | 1.Institute for Financial Studies;Fudan Univ.;Shanghai 200433;China;2.School of Finance;Guangdong Business College;Guangzhou 510320;China |
| |
| Abstract: | This paper uses semi-parametric GARCH model to characterize the dynamic growth mechanism of foreign exchange reserve based on the monthly data from Jan.1987 to Dec.2007.We find that the semi-parametric GARCH(1,1) model which can adequately fit the dynamic inter-dependence structure of foreign exchange reserve is better than parametric GARCH(1,1) and other semi-parametric GARCH models.We firstly give the nonlinear and nonparametric modeling of the monthly data and obtain better results.Meanwhile,the smoothin... |
| |
| Keywords: | Foreign Exchange Reserve Semi-parametric GARCH Higher Order Moments |
| 本文献已被 CNKI 等数据库收录！ |
