Research On The Time Series Analysis Method And Prediction Of The Exchange Rate Between USD And RMB

Exchange rate is the most important regulating lever in international trade, which can accurately reflect the relationship between a country or a region and the international economic environment. Since China's entry into WTO in 2001, the change of the RMB exchange rate is closely related to the development of China's economy, especially with the exchange rate between the US dollar.The RMB exchange rate got raised since China began to implement a managed floating exchange rate system based on market supply and demand with reference to a basket of currencies in 2005.But in this few years,the RMB exchange rate has entered a new normal with two-way fluctuation of the RMB exchange rate.The situation of the RMB exchange rate was a comprehensive raise in the ten years before 2014.But it is changed in back half of 2014 while US dollar index rebounded strongly with the biggest increase in recent 9 years.The primary objective of this paper is to study the characteristics and development trend so far of the exchange rate between USD and RMB in the new international economic environment since 2014.We mainly use the time series method and apply it into the study of the prediction of the exchange rate between USD and RMB.Through theoretical study and reference, we have determined the superiority of time series analysis method in the study of RMB exchange rate.In 1970s,Jenkins and Box introduced random theory into time series so that the theory of the time series gets into a new level and the preciseness of prediction gets promoted. Other scholars have made great contributions to the research of time series analysis method, and they provide us with a lot of time series models including AR model,MA model,ARMA model,ARIMA model and GARCH model.The emergence of these models provides a great convenience for the research of time series which provides the power for the development of social economy.In this paper,489 sample data from January 4th of 2014 to December 31th of 2015 is the main data to research.In the empirical analysis, this paper will mainly use the ARIMA model and GARCH model through the analysis of software to predict the exchange rate between USD and RMB in January 2016.