CAJ | 학술논문

建立了人民币/美元汇率波动的ARCH簇模型，分析汇率制度改革以来汇率波动特征，结果显示，汇率收益率具有尖峰厚望特征，收益率波动具有聚集性，建立了GARCH模型，得到汇率收益率是可预测的，可以利用过去的数据信息预测未来，在此基础上，建立TGARCH模型，表明汇率市场是不对称的，正面冲击和负面冲击对汇率的条件方差影响程度不同，又在TGARCH模型基础上建立TGARCH-M模型，表明市场汇率的收益与风险有关。
건립료인민폐/미원회솔파동적ARCH족모형，분석회솔제도개혁이래회솔파동특정，결과현시，회솔수익솔구유첨봉후망특정，수익솔파동구유취집성，건립료GARCH모형，득도회솔수익솔시가예측적，가이이용과거적수거신식예측미래，재차기출상，건립TGARCH모형，표명회솔시장시불대칭적，정면충격화부면충격대회솔적조건방차영향정도불동，우재TGARCH모형기출상건립TGARCH-M모형，표명시장회솔적수익여풍험유관。
This paper used the ARCH ( Autoregressive Conditional Heteroskedastic ) models to analyze the variation characterstics of the CNY exchange rate against USD. The analytical results show that the CNY ex-change rate is predictable and the past exchange rate can be used to predict the future. Then, based on the TGARCH model, we can see that the CNY exchange rate returns has an ARCH effect, and there are high peakmfat tail, volatility clustering and asymmetrics. The positive impact and negative impact are different on the exchange rate of the conditional variance.