Abstract
As the RMB exchange rate and the frequency of the amplitude is gradually expanding, the exchange rate risk increase, so the accurately measure of the RMB exchange rate and the RMB exchange rate volatility risk control and prevention has important significance. Through the central parity of RMB exchange rate from March 3 2014 to March 14 2016 as the research object, we establish the risk measurement system based on CVaR method, and we explain the empirical results and analysis of the RMB exchange rate market investor's behavior. Finally we proves that using the ARMA model (1.0) - EGARCH (2.1) - M - CVaR to measure the risks of the RMB exchange rate has a good effect, which is also one of the innovative points in the paper.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: DEStech Transactions on Social Science, Education and Human Science
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
