国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2013年
11期
56~69
,共null页
人民币汇率中间价 收益率 波动率 双长期记忆性 ARFIMA—FIGAＲCH 模型
人民幣彙率中間價 收益率 波動率 雙長期記憶性 ARFIMA—FIGAＲCH 模型
인민폐회솔중간개 수익솔 파동솔 쌍장기기억성 ARFIMA—FIGAＲCH 모형
RMB Exchange Rate Medium Price; Yield; Volatility; Dual Long Memory; ARFIMA-FIGARCH Model
本文基于经典R／S分析、修正R／S分析、GPH检验以及ARFIMA—FIGARCH模型估计等方法的实证研究表明：首先，与ARFIMA—FIGARCH模型相比较，基于经典R／S分析方法得到的实证结果误差较大．而GPH检验方法又低估了时间序列条件方差过程中的长期记忆性行为。其次．在日元／人民币、欧元／人民币以及英镑／人民币汇率中间价对数收益率序列当中几乎都不存在明显的长期记忆性效应．但是在其波动率序列当中却都存在着极为显著的强长期记忆性效应．即人民币汇率中间价对数收益率及其波动率当中不具有双长期记忆性效应。再次．student—t分布和GED分布能够比正态分布更好地刻画人民币汇率中间价对数收益率序列的“尖峰厚尾”分布特征．但是与GED分布相比较，Student—t分布更优。最后，自步入2012年以来．日元／人民币和英镑／人民币汇率中间价均呈现下降的迹象．欧元／人民币汇率中间价呈现攀升的征兆，而三者收益率序列的波动性均表现出小幅震荡的低位徘徊。但是需要注意的是。在金融危机中后期。人民币汇率中间价都表现出剧烈震荡的态势，其收益率的波动性也极为显著，因此在未来一段时期内人民币汇率中间价依然具有出现宽幅波动的较大可能性。
本文基于經典R／S分析、脩正R／S分析、GPH檢驗以及ARFIMA—FIGARCH模型估計等方法的實證研究錶明：首先，與ARFIMA—FIGARCH模型相比較，基于經典R／S分析方法得到的實證結果誤差較大．而GPH檢驗方法又低估瞭時間序列條件方差過程中的長期記憶性行為。其次．在日元／人民幣、歐元／人民幣以及英鎊／人民幣彙率中間價對數收益率序列噹中幾乎都不存在明顯的長期記憶性效應．但是在其波動率序列噹中卻都存在著極為顯著的彊長期記憶性效應．即人民幣彙率中間價對數收益率及其波動率噹中不具有雙長期記憶性效應。再次．student—t分佈和GED分佈能夠比正態分佈更好地刻畫人民幣彙率中間價對數收益率序列的“尖峰厚尾”分佈特徵．但是與GED分佈相比較，Student—t分佈更優。最後，自步入2012年以來．日元／人民幣和英鎊／人民幣彙率中間價均呈現下降的跡象．歐元／人民幣彙率中間價呈現攀升的徵兆，而三者收益率序列的波動性均錶現齣小幅震盪的低位徘佪。但是需要註意的是。在金融危機中後期。人民幣彙率中間價都錶現齣劇烈震盪的態勢，其收益率的波動性也極為顯著，因此在未來一段時期內人民幣彙率中間價依然具有齣現寬幅波動的較大可能性。
본문기우경전R／S분석、수정R／S분석、GPH검험이급ARFIMA—FIGARCH모형고계등방법적실증연구표명：수선，여ARFIMA—FIGARCH모형상비교，기우경전R／S분석방법득도적실증결과오차교대．이GPH검험방법우저고료시간서렬조건방차과정중적장기기억성행위。기차．재일원／인민폐、구원／인민폐이급영방／인민폐회솔중간개대수수익솔서렬당중궤호도불존재명현적장기기억성효응．단시재기파동솔서렬당중각도존재착겁위현저적강장기기억성효응．즉인민폐회솔중간개대수수익솔급기파동솔당중불구유쌍장기기억성효응。재차．student—t분포화GED분포능구비정태분포경호지각화인민폐회솔중간개대수수익솔서렬적“첨봉후미”분포특정．단시여GED분포상비교，Student—t분포경우。최후，자보입2012년이래．일원／인민폐화영방／인민폐회솔중간개균정현하강적적상．구원／인민폐회솔중간개정현반승적정조，이삼자수익솔서렬적파동성균표현출소폭진탕적저위배회。단시수요주의적시。재금융위궤중후기。인민폐회솔중간개도표현출극렬진탕적태세，기수익솔적파동성야겁위현저，인차재미래일단시기내인민폐회솔중간개의연구유출현관폭파동적교대가능성。
Based on the classic R/S analysis, the modified R/S analysis, the GPH test and the ARFIMA-FIGARCH model estimation methods, the empirical research conducted for this paper shows that： first of all, compared with ARFIMA-F1GARCH model, the empirical results based on the classic R/S analysis method has larger error, and the GPH test methods underestimate the long-term memory in the conditional variance process of time series. Secondly, no obvious long memory effect is detected with the JPY/CNY, EUR/CNY and GBP/CNY exchange rate yield sequence, but there is significantly strong long memory effect in its volatility sequence. That is, the RMB exchange rate yield and its volatility don~t have the dual long memory effect. Again, compared with the normal distribution, the Student-t distribution and the GED distribution can portray the ＂ fat tail＂ distribution characteristics of the RMB exchange rate yield sequence better. But compared with the GED distribution, Student-t distribution is better. Finally, since 2012, the JPY/CNY and GBP/CNY exchange rate medium price have showed signs of decline, while EUR/CNY exchange rate medium price has presented signs of increase, though the volatility of the three yield sequences showed a slight low level of shocks. However, it should be noted that, in the latter part of the financial crisis, the RMB exchange rate medium price was found in a turbulent situation, and its yield volatility is also significant. Therefore, possibilities exist for relatively big fluctuations in the RMB exchange rate medium price in the coming period of time.
