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该文利用对数周期图法对日本/中国汇率中间价的收益及波动序列的长记忆特性进行研究,并建立了ARMA-FIGARCH和ARMA-FIEGARCH模型。研究结果发现:收益序列不存在长记忆特性,而波动序列却存在显著地长记忆特性。
This paper uses the logarithmic periodogram method to study the long-term memory characteristics of the Japan-China Exchange Rate Median Price and the volatility series, and establishes the ARMA-FIGARCH and ARMA-FIEGARCH models. The results show that there is no long memory characteristic in the income sequence, while the long-term memory characteristic exists in the fluctuation sequence.