Modeling the rmb exchange rate volatility using arch/garch models

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dc.contributor Zhao, Shan
dc.contributor Jun, Ma
dc.contributor.advisor Wang, James L. Song, Lingxue 2017-03-01T17:47:58Z 2017-03-01T17:47:58Z 2016
dc.identifier.other u0015_0000001_0002423
dc.identifier.other Song_alatus_0004M_12852
dc.description Electronic Thesis or Dissertation
dc.description.abstract China has reformed the RMB exchange rate regime since 2005. Before 2005, a purely fixed exchange rate policy was implemented in China. After reforming the exchange rate policy, China allows the RMB exchange rate to float under certain fluctuation range. The fluctuation band has been widened several times during the past ten years. How does the RMB exchange rate fluctuate? What does the RMB exchange rate volatility look like? Does the widening of the fluctuation band affect the RMB to USD exchange rate volatility? This thesis is devoted to explore some answers of these problems. This thesis uses a combination of theoretical and empirical analysis to study the fluctuation dynamic of RMB exchange rate against the USD by using the ARCH/GARCH models. In our analysis, five dummy variables are added in the GARCH model. The coefficients of the dummy variables can reveal the effects of the fluctuation range changes on the RMB exchange rate volatility. A few conclusions can be drawn from our analysis. The ARCH family models can well fit the clustering of RMB exchange rate volatility. By using the ARCH/GARCH models our analysis indicates that widening the exchange rate fluctuation band does affect the exchange rate volatility.
dc.format.extent 39 p.
dc.format.medium electronic
dc.format.mimetype application/pdf
dc.language English
dc.language.iso en_US
dc.publisher University of Alabama Libraries
dc.relation.ispartof The University of Alabama Electronic Theses and Dissertations
dc.relation.ispartof The University of Alabama Libraries Digital Collections
dc.relation.hasversion born digital
dc.rights All rights reserved by the author unless otherwise indicated.
dc.subject.other Mathematics
dc.subject.other Statistics
dc.subject.other Economics
dc.title Modeling the rmb exchange rate volatility using arch/garch models
dc.type thesis
dc.type text University of Alabama. Dept. of Mathematics Mathematics The University of Alabama master's M.A.

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