本文采用单状态和状态转换gArCH模型对汇改后人民币汇率的波动特征进行分析,研究表明状态转换gArCH模型的拟合和预测效果均优于单状态gArCH模型;人民币汇率波动呈现出阶段性的高、低波动状态,低波动状态表现为同方差特征,高波动状态具有波动聚集性和持续性,低波动状态的持续时间较短,且人民币汇率更易于从低波动转为高波动状态;各时期的不同状态及其转换原因取决于国内外各种经济、政策因素的此消彼长。In this paper, single-regime and regime-switching GARCH models are used to analyze the characteristics of the volatility of the RMB exchange rate after 2005 Exchange Rate Reform.The results show that the regime -switching GARCH model in fitness and forecast is superior to single-regime GARCH model.Furthermore, the RMB exchange rate presents staggered high-low volatility regimes.The characteristics of the RMB exchange rate under the different regimes are different:there are volatility clustering and persistence in high-volatility regime, and homoskedasticity in low-volatility regime.We also find that the duration of low-volatility regime is shorter than that of high-volatility regime, and the RMB exchange rate switches more easily from low-volatility regime to high-volatility regime.Finally, different regimes at different stages and their transitions are closely related to domestic and foreign economic and political factors.教育部人文社会科学研究基金项目“资本市场之间的风险传染研究”(08JC790089);福建省软科学项目(2009R0079)的资
