【摘 要】
：
利用从2006年1月4日到2008年7月18日人民币对美元汇率中间价的日均数据,同时运用非参数函数系数模型和GARCH模型来分析人民币对美元汇率收益率与波动率的非线性时间序列特征.
【机 构】
：
美国北卡罗来纳大学夏洛特校区数学与统计系,厦门大学王亚南经济研究院,厦门大学计量经济学教育部重点实验室,厦门大学福建省统计科学重点实验室,
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利用从2006年1月4日到2008年7月18日人民币对美元汇率中间价的日均数据,同时运用非参数函数系数模型和GARCH模型来分析人民币对美元汇率收益率与波动率的非线性时间序列特征.实证结果表明,半参数组合模型具有较好的拟合以及预测效果,而且汇率管制政策变动的虚拟变量的估计系数显著不为0.跨度为50天的样本外预测显示:96%的收益率真实值都落在2.5%以及97.5%的非参数分位数回归预测线区间之内;参数GARCH(1,1)模型拟合的波动率所显示出的汇率震荡与实际情况一致.
Using the daily average of RMB to USD exchange rate from Jan. 4, 2006 to Jul. 18, 2008, nonparametric function coefficient model and GARCH model are used to analyze the nonlinearity of RMB to USD exchange rate and volatility Time series feature.The empirical results show that the semiparametric combination model has a good fitting and predictive effect, and the estimated coefficient of the dummy variable of the exchange rate control policy change significantly is not 0. The extra-sample prediction of the span of 50 days shows that 96% The real value of the return falls within 2.5% and 97.5% of the non-parametric quantile regression prediction line interval; the volatility of the GARCH (1,1) model fitting shows the exchange rate shock consistent with the actual situation.
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