山西大学学报（自然科学版）2009，Vol.32Issue(3)：363-366,4.
基于小波分析和GARCH模型的人民币汇率实证研究
Empirical Study of the RMB Exchange Rate Based on Wavelet Analysis and GARCH Model
摘要
Abstract
In this paper,wavelet-base multiresolution analysis and denoising theory were introduced into the RMB / HKD exchange rate time series to remove noise. Then AR (1)-GARCH (1,1) model was established to fit the time series,and it was found that its fluctuations sequence did not have obvious leverage effect and its standard sequence obeyed normal distribution. Finally the empirical study indicateed the method of combination of wavelet analysis theory was more accurate than traditional method.关键词
多分辨分析/阈值降噪/汇率/GARCH(1,1)/预测Key words
multiresolution analysis/noise reduction threshold/exchange rate/GARCH (1,1) /forecast分类
数理科学引用本文复制引用
常振海,张德生,刘薇..基于小波分析和GARCH模型的人民币汇率实证研究[J].山西大学学报（自然科学版）,2009,32(3):363-366,4.基金项目
国家自然科学基金(50779055) （50779055）
