Title :
An demonstrative analysis on volatility features of RMB exchange rate based on ARCH Family Models
Author :
Lu, Dehong ; Yan, Wenshou ; Xi, Yang
Author_Institution :
College of Economics and Management Northwest A&F University Yangling, Shaanxi, China, 712100
Abstract :
With RMB exchange rate reforming, the volatility range of RMB exchange rate increase quickly, and financial institutions are facing the high risk of exchange rate too. Based on ARCH Family Models, the volatility of US$ / RMB exchange rate were measured and analyzed in use of the variance — covariance method, in the end, the article come out a few volatility features of RMB Exchange Rate.
Keywords :
Analytical models; Biological system modeling; Econometrics; Exchange rates; Finance; Portfolios; Reactive power; ARCH Family Models; RMB Exchange Rate; VaR; Volatility;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5882299
