DocumentCode
3103901
Title
Research of the RMB Exchange Rate Fluctuations and the Value at Risk
Author
Qiao Yun-sheng ; Huang Zuo-xing
Author_Institution
Manage. Sch., Univ. of Shanghai for Sci. & Technol., Shanghai, China
fYear
2011
fDate
16-18 Aug. 2011
Firstpage
1
Lastpage
4
Abstract
This paper selects the middle exchange rate of RMB/Dollar as the research object; the daily returns are computed using GARCH model, and the value at risk is calculated using parameters and half parameters. The results show that, IGARCH model is a good description of the characteristics of volatility of the middle exchange rate of RMB/Dollar; and the semi-parametric method is better than the parameter method at the measurement of VaR. This will help us choose the right methods to monitor the risk of exchange rate fluctuations.
Keywords
exchange rates; IGARCH model; RMB exchange rate fluctuations; Renminbi exchange rate; middle exchange rate; semiparametric method; value at risk; Computational modeling; Educational institutions; Estimation; Exchange rates; Fluctuations; Mathematical model; Reactive power;
fLanguage
English
Publisher
ieee
Conference_Titel
Internet Technology and Applications (iTAP), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-7253-6
Type
conf
DOI
10.1109/ITAP.2011.6006180
Filename
6006180
Link To Document