The Study On Exchange Rate Risk Management Of Domestic Airlines Based On GARCH-VaR Model

With the start of the "8.11" revaluation,the RMB exchange rate against the USD becomes more market-oriented.In the same time,the exchange rate appears in a more frequent and bigger volatility.Under this background,the net income and shareholders' equity of the domestic airlines were largely affected by the exchange losses.We take southern southern airlines for example.From 2014 to 2016,the exchange losses of southern airlines were 276 million yuan,57.02 billion yuan and 32.66 billion yuan respectively.Risk management of the exchange rate of domestic airlines have attracted much attention.Effective and accurate measurement of the exchange rate risk is one of the most important aspects of the exchange rate risk management.In my paper,I begin with introducing relevant theories of exchange rate risk.Based on this,I list several factors that contribute to the occurrence of the exchange rate risk and how these factors affect the exchange rate risk.Also,I conclude several means to measure the risk.And then I conduct empirical analysis.This paper chooses the RMB exchange rate against the USD from August 11,2015 to March16,2018.We obtain the RMB exchange rate Yield series after some processing of the data.After the sequence for each test,we establish the GARCH(1,1),EGARCH(1,1)and TGARCH(1,1)model and finally obtain the optimal EGARCH(1,1)model which can best describe the sequence.And then we calculate the VaR value using the foreign exchange exposure of China southern airlines based on the EGARCH(1,1)model which can describe the impact of exchange rate fluctuations on the airlines accurately.As for the current situation and existing problems of the exchange rate risk management of China southern airlines,we extends to how to deal with the exchange rate risk for all airlines and finally gives some suggestions for the airlines.