Journal of South China University of Technology(Natural Science Edition) ›› 2004, Vol. 32 ›› Issue (12): 83-88.

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Analysis of the ARCH Effect of CNY Exchange Rate Expectation

Ren Zhao- zhang  Ning Zhong- zhong   

  1. College of Business Administration, South China Univ.of Tech.
  • Received:2004-04-16 Online:2004-12-20 Published:2015-09-08
  • Contact: 任兆璋(1942-), 女, 教授, 博士生导师, 主要从事计量经济, 金融工程, 宏观经济等研究。 E-mail:bmzzren@scut.edu.cn
  • About author:任兆璋(1942-), 女, 教授, 博士生导师, 主要从事计量经济, 金融工程, 宏观经济等研究。

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Abstract: The CNY NDF (Non-deliverable Forward)rate is used as a proxy for the CNY exchange rate expectation and the ARCH(Autoregressive Conditional Heteroskedastic)models are used to analyze the variation cha-racteristics of the CNY NDF rate .The analytical results show that the CNY exchange rate expectation has an ARCH effect , and there are high peak , fat tail , volatility clustering and asymmetric characteristics for the CNY NDF rate .These characteristics require a stable CNY exchange rate and a more flexible mechanism for the CNY exchange rate policy in order to deal with the appreciation and depreciation of CNY .A reasonable floating range is also needed and the CNY exchange rate mechanism should be improved step by step.

Key words: CNY exchange rate, expectation, fluctuation, ARCH model