Study Of The RMB Change Rate Fluctuations In The Stochasitc Vloatility Model

With the development of economic,exchange rate played an important role in the international trade,and has aroused wide attention from scholars.They studied various aspects of the exchange rate theory and used various means to analysis and discussed the issue. But for China’s exchange rate, because of our long-term implementation of the exchange rate control system, the study focused on the choice of exchange rate regimes and exchange rate pricing issues, the study on the exchang rate fluctuation was relatively small. Through the exchange rate regime reform, the RMB exchange rate gradually showed the characteristics of the market, so we should be more concerned about the RMB exchange rate in scientific analysis.The economical of the finance time series have the universal phenomenon ofvolatility, but the volatility is a core research question which to describe moneymarket. In 1986, Taylor proposed the stochastic volatility model described volatility. In recent years the stochastic volatility model developed very fast in our country, the researcher proposed lots of expanding model, for example heavy-tail SV model, SV model in mean and so on. But the quality of expanding model for simulating the finance time series did not have a conclusion. This article introduced the DIC criterion, using the Bayesian’s theorem, to compare the SV model system.The SV-N model, the SV-T model, the SV-MN model and the SV-MT model in the SV model system were analyzed according to the Bayesian theorem. Drawing on the experience of the parameters’priors distribution abroad. A Markov chain Monte Carlo algorithm procedure with Gibbs sampler was designed to estimate the models’parameter through the WinBUGS software. According to a comparative analysis, this article found that the RMB against the U.S. dollar had shown a strong volatility, the RMB against the euro had more volatility persisitence. So the RMB against the U.S. dollar exchange rate had a greater fluctuations and higher risk. In the level of volatility disturbance, the RMB against the U.S. dollar had more noise.The RMB against the U.S. dollar was analyzed using the DIC compared to the RMB against the euro under the SV models system. The analysis discovered the SV-N model was the best in analog simulation. However, the complexity in the model must be different result to the different data. The SV-MT model was the best in analoging the RMB against the U.S. dollar.,but the SV-T model was the best in analoging the RMB against the euro.