基于 GARCH 类模型的人民币汇率非线性依赖关系研究

摘要

This paper uses GARCH models with three types of characteristic structure to fit the RMB exchange rate data under four different time scopes and launch the validity test.Then combine with the correlation test and bicorrelation test,we inspect the stability of nonlinear GARCH structure involved in RMB exchange rate series and the original hypotheses of the GARCH models.The comprehensive empirical results indicate that RMB exchange rate system is a nonlinear dynamic complex system,the nonlinear GARCH pattern embodied in the series data shows non-persistent and unstable features.%利用三类不同结构的基本 GARCH 类模型对四个不同时间跨度上人民币汇率序列进行拟合和效度检验；并进一步结合窗口检验程序，借助相关性 C 统计量和双相关 H 统计量对实证对象的 GARCH 类非线性结构的稳定性及 GARCH 类模型中有关非线性相关的基本假设进行检验。结果表明，人民币汇率系统是一个典型的非线性动态复杂系统，人民币汇率序列中的 GARCH 类非线性结构表现出了非持续和瞬时性的特点。