The Analysis Of Exchange Rate Based On GARCH Model Of VAR Methods

Linked exchange rate system is a country's economic ties with other countries, therefore, exchange rate theory is the most active areas of international economics, thinking that the world economy is the exchange rate issue has been a hot issue. The foreign exchange risk associated with the study GARCH model, the VaR approach has also become theresearch hot spot. As the nation GARCH model can be used to describe the dynamic characteristics of the proceeds to capture the cluster effect of the stock market. Asymmetric Feature,Therefore, in recent years VaR calculation of the parameters used various methods to focus on combining GARCH model can capture the thick stock gains t-tail characteristics of the distribution, atypical distribution calculation.VaR estimated conditional variance analysis method is the dynamic calculation of VaR, As the actual financial market, the yield on the tail VaR will result in an underestimation of risk. GARCH model types can then use the conditional variance to measure the foreign exchange market VaR.In this paper gives not only of the GARCH model, the development of the VaR model summary, also the VaR methods based on GARCH model is given a certain amount of study, reviewed the exchange rate theory which have an important impact on last century's economic development, and trying to answer the following questions:Under the t-distribution GED distribution normaldistribution, VaRARCH model used, the results of the model assumptions for the impact of the calculated results...