GARCH模型在人民币汇率波动特性上的应用

This article studys the exchange rate data between Renminbi and US dollars from January 31st, 2007 to June 30, 2010. And it is found that RMB rate fluctuation exists obviously with thick tail spikes in financial time series and volatility clustering; the exterior impact can intensify the RMB rate fluctuation, and have a long influence; through the EGARCH model, it is found tha the RMB exchange fluctuation exists with certain leverage effect, and the revaluation of RMB will create a larger scale fluctuation of RMB rate. These characteristics request the market participant to raise the consciousness of exchange rate risk guard and maintain the the relative stabilization of RMB rate .