The Research Of Exchange Rate Risk Measurement Based On The Volatility

RMB exchange rate have started to make changes since July 21st,2005, Bank of China announces the revolution of RMB exchange rate are becoming a great opportunity/change, it becomes to a fluctuation with U.S. dollar "a basket of currencies". The ratio of "A basket of currencies" determines the magnitude of risk facing the world. On the other hand, for us, the investment currency also determines the magnitude of risk which we are facing.Currency is a economic band between a country and other countries. In that sense, the philosophy of currency is a very popular topic in international currency, and it is also the important topic in international marketing. RMB exchange rate are becoming more controlled by the market. The investment to other countries'trade, which included the body of investment, commercial banks, the central bank and other major financing groups are facing more degree of challenge. Under this background, we need to improve the RMB exchange rate manage level, the goal is to have a curacy measurement of RMB exchange rate. The corresponding exchange models such as GARCH model, VaR model also become the center of the attention in our research.This paper brings the VAR model to the control of exchange risk. VAR model is a new type of tool to manage finance challenge since the 90s. As a measurement and control tool, this model is easy to operate, compared to traditional financial risk measurement models, and it is more applicable and advisable. By far, it has becamed the main tool in financial risk measurement model.As the GARCH family model can be used to describe the dynamic characteristics of earnings, the stock market to capture the clustering effect, non-symmetrical features, so the parameters of VaR calculation methods in recent years mainly focused on various types of GARCH model combined with stock market returns can capture the fat tail characteristics of t-distribution, GED distribution is calculated. To improve the exchange rate risk measure based on the level of VaR, this article will firstly start with the assumption of VaR models, the RM the assumption of VaR models, the RMB exchange rate returns on the number of random test sequences, respectively, normal and heteroscedastic test VaR model of comprehensive validation of the use of metrics RMB exchange rate risk applicable. Then, this parameter method using the RMB exchange rate risk on the empirical measure, confirmed the RMB exchange rate fluctuations with time variability and non-normality.