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An demonstrative analysis on volatility features of RMB exchange rate based on ARCH Family Models

Dehong Lu, Wenshou Yan, Xi Yang

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Abstract

With RMB exchange rate reforming, the volatility range of RMB exchange rate increase quickly, and financial institutions are facing the high risk of exchange rate too. Based on ARCH Family Models, the volatility of US$ / RMB exchange rate were measured and analyzed in use of the variance — covariance method, in the end, the article come out a few volatility features of RMB Exchange Rate.

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What this paper is about

With RMB exchange rate reforming, the volatility range of RMB exchange rate increase quickly, and financial institutions are facing the high risk of exchange rate too. Based on ARCH Family Models, the volatility of US$ / RMB exchange rate were measured and analyzed in use of the variance — covariance method, in the end, the article come out a few volatility features of RMB Exchange Rate.

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Available abstract

With RMB exchange rate reforming, the volatility range of RMB exchange rate increase quickly, and financial institutions are facing the high risk of exchange rate too. Based on ARCH Family Models, the volatility of US$ / RMB exchange rate were measured and analyzed in use of the variance — covariance method, in the end, the article come out a few volatility features of RMB Exchange Rate.

Key concepts: Renminbi, Exchange rate, Volatility (finance), Volatility swap, Econometrics, Economics, Monetary economics, Implied volatility

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