基于GARCH模型的人民币汇率风险的VaR方法研究应用统计学专业论文.docxVIP

VaR method of researching the RMB exchange rate risk based on GARCH model Abstract Since the implementation of a floating RMB exchange rate regime in 2005,the RMB exchange rate fluctuate more frequently. In 2010, China further promoted the reform of RMB exchange rate formation mechanism, which enhanced the RMB exchange rate flexibility. With the exchange rate market-oriented reforms progressed, Chinas main foreign trade and investment, commercial banks, central banks and other major economic entities faced risk increasingly apparent. In this context, to enhance the RMB exchange rate risk management has become a major economic agents placed in front of a major issue, and its core and the premise is to achieve an effective measure of the RMB exchange rate risk. This paper empirically analysis the variance of the logarithmic rate of return from July 25,2005 to March 22,2013,firstly use GARCH model to calculate the logarithmic yield variance, and then calculate the VaR value, finally test the validity of the model with failure frequency Kupiec test method. Empirical results show that the RMB exchange rate compared to the normal rate of return is more suitable for the t-distribution, logarithmic yields have smooth, there is no serial correlation, but with heteroscedasticity, GARCH model suitable premise; By comparing the model with different order,GARCH(1，1) is the best model ;the calculated VaR values can be well reflected in four pairs of sequence numbers yield volatility situation, GARCH model at the 95% confidence level through the failure frequency test method. Keywords：RMB exchange rate, volatility ,GARCH model,VaR Writte n by Wu Dechun Supe rvised by Wang Sishui V 目录 第 1 章 引言..................................................................................................................... 1 1.1 选题背景及意义....................................................................................................1 1.2 文献综述.........................