An Empirical Research of China´s Foreign Exchange Risk Management

This article applies GARCH model to Chinese commercial banks exchange rate risk model-based, through empirical analysis of the USD/CNY exchange rate day volatility VaR value show that: (1) Residual items obey the distribution not suitable for distribution of China´s foreign exchange market exchange rate yield sequence. Residual items obey GED distribution can be better characterize the distribution of China´s foreign exchange market exchange rate yields sequences; (2) The difference of the conclusions of TARCH (1,1)-G model and the EGARCH (1,1)-G model shows that whether there is leverage effect in China foreign exchange market rate yield sequence is not clear.