Research On The RMB Exchange Rate Volatility Via The Stochastic Volatility Model

With the rapid development of market economy,the economic globalization is also deepening.The exchange rate has played an important role in the international trade of various countries,and scholars in various countries have carried out the theoretical and practical research on the exchange rate.In view of the situation of our country,in a very long period of time,the exchange rate is to implement the control system,so the related research is mainly about the exchange rate,exchange rate system and its pricing,rarely involves the problem of exchange rate fluctuations.Today,China's exchange rate system is constantly reform,the RMB exchange rate presents market characteristics,so we should pay attention to the fluctuations in the RMB exchange rate.Theoretically,the core issue of the exchange rate market should be volatility,while the stochastic volatility model is the best way to describe the volatility of exchange rate.There are standard SV model,mean SV model,heavy tailed SV model and so on in the domestic research of stochastic volatility model.This study introduces the DIC criterion,and uses Bayesian method to analyze the SV model.This paper first analyzes the research background,purpose and significance,and starts with the related theories,analyzes the research status of domestic and foreign research status and SV model,and analyzes the SV model in detail.Subsequently,the basic forms of various SV models are introduced,and then Bayesian analysis is performed to obtain the posterior distribution of the relevant model parameters.Finally,the concept of vector is introduced into the SV model to empirically analyze the volatility of the RMB exchange rate.Using WinBUGS software and related theoretical knowledge,the exchange rate volatility of the RMB against the US dollar and the exchange rate fluctuation of the RMB against the Euro are empirically analyzed.The Volatility Analysis of RMB exchange rate based on stochastic volatility model is very important for the study of RMB exchange rate.In order to grasp more RMB exchange rate volatility analysis skills,we should further broaden the research ideas.