【摘要】 本文运用时间序列的GARCH模型 ,对汇率体制改革后的人民币美元汇率建模进行预测。在论证了GARCH模型预测可行性的基础上 ,分别采用一步向前预测的滚动算法和递归算法 ,取得了令人满意的预测效果。更多还原

【Abstract】 This paper establishes the model of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) for the forecasting of Renminbi exchange rate against US dollar during the period of 1994 to 1997. On the basis of analyzing the feasibility of the time series or REM/USD daily exchange rate with GARCH model, we apply the rolling window and recursive methodology respectively, and the satisfactory results of the one-step-ahead forecast have been made.更多还原