Based On The Egarch Model Of Exchange Rate Fluctuations

The fluctuating characteristics of RMB exchange rate become the focus of people's attention after the reform of RMB exchange rate genesis on July 21,2005. The variation characteristics of exchange rate have significant influences on financial policy-making and investment decision-making.In last several years, empirical studies indicated that there were volatility clustering and asymmetric characteristics in stock market. However, whether these characteristics exist in China foreign exchange market is the issue this paper studied. First we reviewed the fruit of over ten years' research in theories of ARCH models and its applications, then discussed the theory property of EGARCH models and analyze the fluctuating characteristics of RMB exchange rate. The thesis is divided into two parts:chapter 2 proved the only solution which has strict stationary property and the ergodicity of EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, and discussed its parameters estimation. On the basis of it, we focused on proving asymptotic normality and consistency of maximum likelihood estimators for EGARCH model.Chapter 3 analyzed the statistical properties of daily logarithm return series of AUD, EUR, GBP and JPY against RMB exchange rates, and examined stationary, serial autocorrelation and so on. Then we established the ARMA models and examined the ARCH effects of the residual serials. Finally, we established the EGARCH models and forecasted foreign market volatility.