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
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;
Conference_Titel :
Computer Science and Automation Engineering (CSAE), 2011 IEEE International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-8727-1
DOI :
10.1109/CSAE.2011.5952886
