Undulation Research On Foreign Exchange Rate

The foreign exchange market undulation research is the foundation of the foreign exchange investment, the exchange risk management and the guard, foreign exchange market risk supervising and managing and so on. On July 21, 2005 after the mechanism reform of the Renminbi exchange rate, the Renminbi exchange rate and the undulation receives the widespread attention. Renminbi exchange rate change characteristic and the undul—ation rule has the vital significance with the union international foreign exchange market contrast research.This article researches the undulation mobile model, and selects the GARCH model and the EGARCH model in the ARCH race model to conduct the contrast research. Finally the article selects the EGARCH model to take the real diagnosis model, and using the EGARCH model to two groups of international foreign exchange markets exchange rate pound/US dollar, the euro/US dollar and two group of Renminbi exchange rate Renminbi/US dollar, the Renminbi/Japanese Yen date income time series data has conducted the real diagnosis research. The result indicated the GARCH model and the EGARCH model all can carry on the very good fitting and the forecast to the foreign exchange time train wave mobility, and the EGARCH model effect is better than the GARCH model; Through the EGARCH model in international foreign exchange market and the Renminbi exchange rate market contrast research, the EGARCH model has a better fitting and the forecast effect in the international exchange rate market compared to the Renminbi exchange rate market.This article results can provide the certain reference value for the Renminbi exchange rate system reform. As a result of EGARCH model to exchange rate date income sequence has a good fitting and forecast, the EGARCH model utilization in the foreign exchange investment, the exchange risk management and the guard, the foreign exchange market risk supervising and managing and so on will have the positive effect.