人民币汇率预测的两种模型

200855:100026788(2008)05200642061,2(11,100190;21,100190):,2ARMACAR,.,,,2ARMA,CAR.,,.:;2ARMA;CAR:F830192:ATwomodelsforRMBPUSdollarexchangerateforecastingGUOKun1,WANGShou2yang2(11SchoolofManagement,GraduateSchooloftheChineseAcademyofSciences,Beijing100190,China;21AcademyofMathematicsandSystemsSciences,ChineseAcademyofSciences,Beijing100190,China)Abstract:Inthispaper,weexaminetimeseriesfeaturesofRMBPUSdollarexchangerate,usingCycle2ARMAmodelandCARmodelforshort2timeexchangerateforecasting.Theresultsshowthatthetwomodelscanbothdescribetheoriginaldatawell,however,fortheactualforecasting,theCycle2ARMAmodelhasasteadyresult,buttheCARmodelwhichmakesreferencetothepriceofHangSengBankismoresensitivetoexchangeratefluctuations.Therefore,wecanobtainamorepreciseresultusingtheintegrationmodelofthetwoindividualmodels.Keywords:forecasting;cycle2ARMAmodel;CARmodel:2006209211:(1983-),;(1958-),,.02005721,,.,.,,,.,.,.,,.,,.,.1,,,.,,,,..,,;,,06,,,;,,,,,.,.,,.,,[1].,,.200611-20071130.5,5,;6,,,,,.1,.1:,;,,,;,,,,,,[24].,;.,0105,;Daniel-01938,0105,,.,,.Daniel014631,56520081,,20071130.01057[58].,,ARIMA(p,d,q),d2.ARCHGARCH.01057,,.ARCHGARCHARIMA[911].22112ARMAARIMA(p,d,q),,,d.,,.,.,,.,,:xu=Lj=1Rjejt+Kj=1Bjebjtsin(…jt+j)+yt(1){yt}ARMA(p,q);Rjejt,L;Kj=1Bjebjtsin(…jt+j),K,Bj,ebjt.,,,,,,2ARMA,:xu=Lj=1Rjejt+Kj=1Bjebjtsin2tsd+j+yt(2),ARMA,tsts,0ts1,d,,d=1,(1)(2),d1,(2),d1,.2ARMA,,,{yt}ARMA.,,,.212CAR,ARIMA,2ARMA,,.,(CARMA),,(CAR)[12].m,nCAR,:yt=a1yt-1+a2yt-2++anyt-n+b10x1,t+b11x1,t-1+b12x1,t-2++b1nx1,t-n+b20x2,t+b21x2,t-1+b22x2,t-2++b2nx2,t-n++bm0xm,t+bm1xm,t-1+bm2xm,t-2++bmnxm,t-n+t(3),n,an+1,bj,n+1,,F,CAR(n).,6620085CAR(n)an,an-1,b1,n,b1,n-1,,bm,n,bm,n-1,,0,CAR(n)0F,.33112ARMA,019838.,,51015,5.,019965.ARMA,ARMA,ARMA(7,7)ACI,99187%.2ARMA(7,7),.:8137416e-0100026t(4):0143349e-0100527tsin23114159t515127801+41601514(5)ARMA(7,7):Xt=011074+01000033Xt-1-01000057Xt-2-01000426Xt-3-01000206Xt-4-01000332Xt-5-01000116Xt-6-01000218Xt-7-01771082et-1-01486898et-2-01385893et-3-01333029et-4-01265657et-5-01237465et-6-01206435et-7+et(6)5,1.312CAR2ARMA(),,,,,.,CAR,.F0105,,CAR[13]:Yt=019155367Yt-1-010442682Xt-5+010403767Xt-6(7){Yt},{Xt}.5,2.12ARMA2007212237.38777.38520.0339%2007212247.38997.38020.1314%2007212257.39227.37020.2985%2007212267.39527.39220.0406%2007212277.39777.38520.1693%2CAR2007212237.3769247.38520.1121%2007212247.3736767.38020.0884%2007212257.3704317.37020.0031%2007212267.3673627.39220.3360%2007212277.3641457.38520.2851%::=|-|P3100%4:2ARMA(7,7)765CAR,,23.22ARMA3CAR,2ARMA(7,7),99187%;8620085CAR.,,2ARMA(7,7).,,(3):3ARMACARL(1)0.0025-0.00827646L(2)0.0097-0.00652448L(3)0.0220.00023135L(4)0.003-0.02483836L(5)0.0125-0.02105524::=-3,2ARMA,2ARMA,,.CAR,,,,.CAR,,,,CAR.,,.,,010834%,011347%011649%.42ARMACARL(1)7.38527.3823120.0391%0.0339%0.1121%L(2)7.38027.3817880.0215%0.1314%0.0884%L(3)7.37027.3813160.1508%0.2985%0.0031%L(4)7.39227.3812810.1477%0.0406%0.3360%L(5)7.38527.3809220.0579%0.1693%0.2851%0.0834%0.1347%0.1649%,,,CAR,,,,.:[1]OrlinGrabbeJ.InternationalFinancialMarkets[M].Beijing:ChinaRenminUniversityPress,2003.[2]ZhangJ,WangSY.EquilibriumExchangeRateofRMBandtheForeignTradeofChina[M].Beijing:HigherEducationPress,2005.[3]TrivezFJ.Levelshifts,temporarychangesandforecasting[J].JournalofForecasting,1995,14:543-550.[4]ArifovicJ.Thebehaviorofexchangerateinthegeneticalgorithmandexperimentaleconomics[J].JournalofPoliticalEconomy,1996,31:510-541.[5]JamesD.Hamilton.TimeSeriesAnalysis[M].Beijing:ChinaSocialSciencesPress,1999.[6]TerenceC.Mills.TheEconometricModelingofFinancialTimeSeries[M].Cambridge:CambridgeUniversityPress,1999.[7]WangY.AppliedTimeSeriesAnalysis[M].Beijing:ChinaRenminUniversityPress,2005.[8]ZhangBF.Econometrics[M].Beijing:EconomicSciencePress,2000.[9]JosephNL.Cointegration,error2correctionmodels,andforecastingusingrealignedforeignexchangerates[J].JournalofForecasting,1995,14:499-522.[10]RadcliffeG.Edmonds.Isexchangeratevolatilityexcessive?AnARCHandARapproach[J].TheQuarterlyReviewofEconomicsandFinance,2004,44:122-134.[11]MichaelSabbatini.AGARCHmodeloftheimpliedvolatilityoftheSwissmarketindexfromoptionprices[J].InternationalJournalofForecasting,1998,14:199-123.[12]BollerslevT.Generalizedautoregressiveconditionalheteroskedasticity[J].JournalofEconometrics,1986,31:307-327.[13]TangQY,FengMG.PracticalStatisticsandDPSDataProcessingSystem[M].Beijing:ChinaAgriculturalPress,2002.965