## 基于时间序列模型的人民币汇率分析与预测

Analysis and Forecast of the RMB Exchange Rate Based on
Time Series Model
Abstract：In the paper, we selected 299 data of the RMB exchange rate between January 7, 2014 and February 28, 2015, based on the actual situation of China’s exchange rate at the present stage, and studied on the fluctuation of exchange rate data.in the research. We adopted the method of time series analysis with the ARIMA model to do empirical analysis, the results show that ARIMA(2,1,2)model has the best fitting degree of RMB exchange rate. And we carried on the forecast trend of RMB exchange rate based on the model .
Keywords：The Exchange Rate of RMB ; The Model of ARIMA ;The Forecast of Exchange Rate

1．模型知识概述    2
1.1 ARMA模型    2
1.2 ARIMA模型    3
2．实证分析    4
2.1数据的选择    4
2.2平稳性检验    5
2.3平稳性分析    7
3．基于ARIMA模型的参数估计和模型预测    7
3.1参数估计    7
3.2模型预测    11
4．结论    13

1．模型知识概述
1.1 ARMA模型
ARMA(p ,q)又称为自回归移动平均模型（Auto Regressive and Moving Average Model）[8],其模型结构如下 源￥自%六^^维*论-文+网=www.lwfree.cn
（1）

1.2 ARIMA模型
ARIMA(p, d, q)又称为求和自回归移动平均（autoregressive integrated moving average）模型[8],是指将非平稳的时间序列转化为平稳的时间序列,再将因变量仅对它的滞后值及随机误差项的现值和滞后值进行回归所建立的模型[4]. 基于时间序列模型的人民币汇率分析与预测:http://www.lwfree.cn/shuxue/20190924/39709.html
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