Study On The Volatility Term Stucture Of Foreign Exchange Rate

Floating exchange rate system has become the major exchange rate system since the Bretton-Woods system collapsed. Under the floating system, currency prices keep changing all the time, which make the foreign exchange market very risky. At the same time, along with China RMB reform moving forward, and the more flexible RMB exchange rate system being set up gradually, the research of volatility term structure of foreign exchange rate could make foreign exchange market investors learn more about exchange rate risk, and offer advice to build up more market-driven foreign exchange market in China, so the research is of great importance in both aspects.The study on the volatility term structure of foreign exchange rate was organized in the following way: theory study, data analysis, empirical test, result analysis and new model building.The first two chapters were about exchange rate theories and volatility research methods. The ARCH model series, especially the GARCH model, were described in detail, since it was suggested that it...