DocumentCode
2283541
Title
The EUR/CNY exchange rate forecast based on GARCH model
Author
Gao, Huaijin ; Sun, Jianan
Author_Institution
Sch. of Math. & Inf. Sci., Weifang Univ., Weifang, China
Volume
4
fYear
2011
fDate
10-12 June 2011
Firstpage
447
Lastpage
450
Abstract
This paper considers the exchange rate of EUR/CNY by applying the GARCH model. After analyzing the feasibility of EUR/CNY exchange rate with the model, we use one-step-ahead method to forecast the daily EUR/CNY exchange rates from July 21, 2005 to July 27, 2010, and derive the satisfied empirical results.
Keywords
autoregressive processes; exchange rates; Chinese Yuan; EUR-CNY exchange rate forecast; Euro; GARCH model; generalized autoregressive conditional heteroskedasticity model; one-step-ahead method; EUR/CNY exchange rate; GARCH model; estimation; forecast;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Science and Automation Engineering (CSAE), 2011 IEEE International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4244-8727-1
Type
conf
DOI
10.1109/CSAE.2011.5952886
Filename
5952886
Link To Document