论文部分内容阅读
以美元/日元远期汇率为例,利用马尔可夫机制切换算法研究远期汇率对数收益率的异常波动,并将异常波动与宏观经济形势和宏观事件相对照,较好地解释了宏观因素对汇率波动的影响.同时,利用GARCH(1,1)模型拟合剔除异常点后的汇率波动,所得到的不同到期期限的远期汇率的条件方差表明,期限较长的远期汇率的条件波动较大,期限较短的远期汇率的条件波动较小,说明不同期限的远期汇率可能存在信息不对称,即期限越长,信息的不确定性越大.
Taking the USD / JPY forward exchange rate as an example, this paper uses the Markov mechanism switching algorithm to study the abnormal volatility of the logarithmic return of the forward exchange rate. The abnormal volatility is compared with the macroeconomic situation and macroeconomic events to better explain the macro Factor on the exchange rate fluctuations.At the same time, using the GARCH (1,1) model to fit the exchange rate fluctuations after removing the abnormal points, the conditional variance of the forward exchange rates with different maturities shows that the long-term forward exchange rates The conditions of the volatility, short-term forward exchange rate of the shorter fluctuations in the conditions, indicating that forward exchange rates of different duration may exist information asymmetry, that is, the longer the deadline, the greater the uncertainty of the information.