Abstract
This paper collects a total of 541 groups of the RMB exchange rate to build the model of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) for forecasting of RMB exchange rate against US dollar. The empirical results show that the GARCH models can fit the series well and the prediction effects of both the GARCH (1, 1) model and the GARCH-M model are good.
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