Research of the RMB Exchange Rate Fluctuations and the Value at Risk

摘要

This paper selects the middle exchange rate of RMB/Dollar as the research object; the daily returns are computed using GARCH model, and the value at risk is calculated using parameters and half parameters. The results show that, IGARCH model is a good description of the characteristics of volatility of the middle exchange rate of RMB/Dollar; and the semi-parametric method is better than the parameter method at the measurement of VaR. This will help us choose the right methods to monitor the risk of exchange rate fluctuations.