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    A New Forecasting Model for USD/CNY Exchange Rate

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    Cai_Chen_Fang_2012.pdf (291.3Kb)
    Issue Date
    2012-09-18
    Author
    Cai, Zongwu
    Chen, Linna
    Fang, Ying
    Publisher
    De Gruyter
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Metadata
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    Abstract
    This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to the conditional volatility model. We show that the government policy indeed has an impact on the exchange rate dynamic. To evaluate the out-of-sample forecasting ability, a prediction interval is computed by employing nonparametric conditional quantile regression. Our method outperforms other popular models in terms of various criteria.
    Description
    This is the publisher's version, also available electronically from http://www.degruyter.com/view/j/snde.2012.16.issue-3/1558-3708.1878/1558-3708.1878.xml.
    URI
    http://hdl.handle.net/1808/13592
    DOI
    https://doi.org/10.1515/1558-3708.1878
    ISSN
    1558-3708
    Collections
    • Center for East Asian Studies Scholarly Works [351]
    • Economics Scholarly Works [183]
    Citation
    Zongwu Cai, Linna Chen, Ying Fang. 2012. "A New Forecasting Model for USD/CNY Exchange Rate." Studies in Nonlinear Dynamics & Econometrics. Volume 16, Issue 3. http://www.dx.doi.org/10.1515/1558-3708.1878

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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