Measure Exchange Rate Risk Using GARCH Model and Extreme Value Theory

@article{Yang2010MeasureER,
  title={Measure Exchange Rate Risk Using GARCH Model and Extreme Value Theory},
  author={Jie Yang and Shaozong Zhang},
  journal={2010 Third International Conference on Business Intelligence and Financial Engineering},
  year={2010},
  pages={355-358}
}
Risk measurement is an important prerequisite in modern finance. This paper aims to measure exchange rate risk of Chinese exchange market. We firstly examine the heteroscedasticity of the return series of USD/CNY and EUR/CNY data, the results suggest that there is obvious heteroscedasticity. Secondly, we choose the best GARCH model to filter the return series to i.i.d residual series and employ extreme value theory to estimate the tails of those i.i.d series, we find the degree of fitting of… CONTINUE READING