The Value at Risk Measure of the Yuan Against the Dollar

Guang-lai Zhou, Cui Lu (), Bei-bei Qi and Li Shang
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Guang-lai Zhou: Hohai University
Cui Lu: Hohai University
Bei-bei Qi: Hohai University
Li Shang: Hohai University

A chapter in Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, 2013, pp 311-319 from Springer

Abstract: Abstract In this article, we combined the methods of AR-GARCH and History Monte Carlo, with which we measured the exchange rate risk of the RMB. We mainly used AR-GARCH model to simulate and estimate the time series of the RMB exchange rate, with which we solved the problem of conditional heteroscedasticity, and get the residual series with zero mean, conditional heteroscedasticity and the conditional mean series and the autoregression equation, then which is used to be the basis of Monte Carlo simulation method to measure the value of the RMB exchange rate risk. The results show that this combination of both can effectively solve the problems of peak and fat tail in residual series, non-normality and caused error by estimating the parameters of the fitted distribution, and can effectively improve the credibility and accuracy of measurement of the exchange rate value at risk.

Keywords: Exchange rate; Measure; Value at risk (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40072-8_30

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DOI: 10.1007/978-3-642-40072-8_30

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