The Measure Of Renminbin Exchange Rate Volatility And Risk

The latest developed research methods in financial econometrics is introduced in this thesis, such as ARCH family methods and copulas in finance, to study the volatility of RMB exchange rate in Spot, Deliverable Forward(DF) and Non-Deliverable Forward(NDF) market, and investigate the relationship of the above three markets. In this thesis, exchange rate of RMB to US Dollar is selected as samples for the study. Value at risk (VaR), commonly applied in financial risk measure and management is used as the measure of RMB exchange risk. The models of GARCH, EGARCH and Conditional Autoregressive Value at Risk are used to estimate and forecast VaR of RMB exchange rate in the above three markets.