The research of the RMB exchange rate fluctuations based on wavelet transform LMSV model

摘要

Wavelet into the LMSV model fluctuations in the estimates of long memory and inspection,made based on wavelet transform LMSV model fluctuations in the pseudo-long memory of maximum likelihood estimates of volatility and long memory of the test methods,and the Exchange rate fluctuations sequence long memory effect the size of the extent of verification.The results show that the existence of a long sequence of exchange rate fluctuations memory effect,the RMB against the U.S.dollar exchange rate fluctuations by the sequence of historical information highest degree of impact.