[问答] 如何用garch算实际汇率的波动（高分悬赏，答的好加分） [推广有奖]

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木土草雨田 发表于 2012-7-25 19:17:58 |AI写论文

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为研究实际汇率波动对出口的影响，要算实际汇率的波动。
有的数据是1984 到2012年的年实际汇率波动。
数据如下：

1984	4.74384149
1985	5.680948013
1986	6.43255545
1987	6.714864216
1988	5.882103545
1989	5.270447834
1990	6.842140276
1991	7.6659814
1992	7.688812109
1993	7.227144731
1994	8.923700429
1995	7.609322379
1996	7.200865583
1997	7.150165527
1998	7.310048598
1999	7.577780574
2000	7.809182899
2001	7.971598778
2002	8.157159734
2003	8.247190941
2004	8.148613951
2005	8.194316667
2006	8.109644208
2007	7.599896822
2008	6.804573407
2009	6.717992619
2010	6.549055195
2011	6.115193787

我的算法是：用eviews 软件点quick，然后estimate equation, 然后method ARCH, 然后输入 RealExchangeRate C RealExchangeRate (-1)
之后出来一个表。
再之后用forecast 预测其每年的波动。

结果出来从1985到2011年的27个数据值，数据为正。

问题是不知道这种算法对不对，这里能用预测的算实际的波动吗？garch 模型能用29年的数据吗？有没有文献作为参考呢？

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关键词：GARCH 实际汇率 ARCH RCH ARC 汇率波动 garch模型 eviews 软件

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OK890705 发表于3楼查看完整内容

(sorry I dont have CN input in the lab) You should be clear about the concept you r studying. Volatility itself is unobservable from the data with the same observation frequency. You cannot compare the GARCH prediction with the "REAL" volatility. That is why it is hard to evaluate the GARCH performance. Many studies do suggest proxy for the true underlying volatility and method to evaluate the ...

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沙发

木土草雨田 发表于 2012-7-27 02:20:43

为什么都没有人回答呢？

藤椅

OK890705

发表于 2014-7-31 14:34:16

(sorry I dont have CN input in the lab)
You should be clear about the concept you r studying.
Volatility itself is unobservable from the data with the same observation frequency. You cannot compare the GARCH prediction with the "REAL" volatility. That is why it is hard to evaluate the GARCH performance.
Many studies do suggest proxy for the true underlying volatility and method to evaluate the GARCH performance. Take a look at Awartani and Corradi’s (2005) and the attached file.

Also you may want to compare it with the option implied or realized volatility from higher freq data. Prob you will find option implied vol is leading.