Research On Exchange Rate Risk Measurement And Avoidance Strategy Of Small And Medium Sized Foreign Trade Enterprises Based On GARCH-VaR Model

After China took part in the WTO and had been opening up the domestic market,then more and more domestic enterprises to actively participate in international competition to obtain a larger market.However,a large number of examples show that foreign trade enterprises are lack of researching on foreign exchange risk.Especially on those foreign trade enterprises which are small and medium-sized,the lack of systematic analysis and understanding,theory and practice are not mature.Thus leading to some of the greater risk of loss,and some even endanger their own survival.Therefore,the study of effective exchange rate risk measurement and exchange rate risk aversion strategy for small and medium-sized foreign trade enterprises have practical significance.Choosing the daily rate of return of several currencies with large probabilities in international trade activities in this essay,which is making use of GARCH model and VaR method to establish risk measurement model,and putting forward the strategies and suggestions of small and medium-sized foreign trade enterprises to avoid exchange rate risk according to the research results.The main conclusions are:It is feasible to construct a GARCH-VaR model to measure exchange rate risk.Through the research,GARCH(1,1)well fitted the data,and the VaR estimated from the GARCH model is a good reflection of the fluctuation of the four foreign currency yield series.For foreign currency assets,they are relevant.Under the conditions of confidence level,expected return and risk constraint,the diversified DCC-GARCH-VaR model is a good one to fit the time of multiple foreign currency portfolio Sequence,providing an effective exchange rate risk measurement model.From the research results of the model,found that the exchange rate fluctuates and the VaR value are increasing,which is indicating that the exchange rate risk is increasing.Our enterprises are facing large exchange rate risk.On the basis of the estimated risk value of the reference risk measurement model by adjusting foreign currency portfolio combination to lower exchange rate risk,which has practical significance.For choosing the options and strategies for avoiding the exchange rate risk by the purchase of financial derivatives,and enterprises can also use their own internal hedging methods.