| Taking RMB exchange rate against U.S. dollar, Euro, Yen and Pound as the sample, the paper analyzes basic statistics, non-symmetry and long memory in volatilities of the RMB exchange rate's returns and its'absolute value of returns, drawing a follow conclusion:Both of the RMB exchange rate of return and absolute value of returns are not subject to independent and identical distribution, do not obey the standard normal distribution, and have the typical characteristics of fat tails. Return series do not exist or exists only very weak short-term autocorrelation, while the absolute value series have strong short-term autocorrelation. The estimation results of EGARCH-M model indicate the returns of RMB exchange rate against Yen has a strong non-symmetry, but that of the other three are weak. It's obviously to see that from their Information shock curves. We using the R / S method for the return series and the absolute value series to test the long memory and estimate the Hurst parameter, and the results indicating that except the return series of RMB exchange rate against U.S. dollar, all the return series have no long memory, while all the absolute value series have strong long memory characteristics. |
