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首页> 外文会议>2014 International Conference on Management and Engineering >GARCH Modelling Based on GMDH Algorithm and Its Application in Studying Volatility of Exchange Rate
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GARCH Modelling Based on GMDH Algorithm and Its Application in Studying Volatility of Exchange Rate

机译：基于GMDH算法的GARCH建模及其在汇率波动性研究中的应用

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摘要

Exchange rate forecasting is an important subject in financial market.This article built a GARCH modelling based on GMDH algorithm.There GMDH algorithm was used to decide the order and the parameter of GARCH modelling.Then this modelling was used to study the Volatility of Exchange Rate,and compare the VaR value with GARCH(1,1).The results show that the GARCH modelling based on GMDH algorithm can more accurately reflect the volatility of exchange rate.
机译：汇率预测是金融市场的重要课题。本文建立了基于GMDH算法的GARCH建模方法，利用GMDH算法确定GARCH建模的顺序和参数，进而研究汇率波动性。结果表明，基于GMDH算法的GARCH模型能够更准确地反映汇率的波动性。

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  • 来源
  • 会议地点 Shanghai(CN)
  • 作者

    QIUMIN LI; YIXIANG TIAN; GAOXUN ZHANG;

  • 作者单位

    School of management and Economics,University of Electronic Science and Technology of China,No.2006,Xiyuan Ave,West Hi-Tech Zone,611731,Chengdu,Sichuan,P.R.China;

    School of management and Economics,University of Electronic Science and Technology of China,No.2006,Xiyuan Ave,West Hi-Tech Zone,611731,Chengdu,Sichuan,P.R.China;

    School of management and Economics,University of Electronic Science and Technology of China,No.2006,Xiyuan Ave,West Hi-Tech Zone,611731,Chengdu,Sichuan,P.R.China;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 工业通用技术与设备;
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