Research on RMB exchange rate volatility based on GH distribution(PDF)
《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]
- Issue:
- 2016年04期
- Page:
- 62-67
- Research Field:
- 经济与管理
- Publishing date:
Info
- Title:
- Research on RMB exchange rate volatility based on GH distribution
- Author(s):
- WU Li-bin; ZHANG Xiao-fang
- Institute of Quantitative Economics, Anhui university of Finance and Economics, Bengbu 233030, Anhui, China
- Keywords:
- RMB exchange rate; generalized hyperbolic (GH) distribution; volatility; volatility filtering model
- PACS:
- F832.6
- DOI:
- -
- Abstract:
- Regarding the volatility of RMB exchange rate, this paper investigated the characteristics of US$/RMB exchange rate volatility from January 4, 2006 to July 24, 2015, using generalized hyperbolic〖JP〗 (GH) distribution. It is found that RMB exchange rate not only has the significant “leptokurtosis and fat tail” characteristics, but also has fluctuating asymmetry and clustering characteristics. At the same time, it is found that GH distribution can describe and present the distribution of US$/RMB exchange rate volatility precisely.
Last Update: 2017-01-03