DocumentCode
1651027
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
fYear
2011
Firstpage
1
Lastpage
3
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;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5882299
Filename
5882299
Link To Document