The Measure of the RMB Exchange Rate Risk—Based on the AR(1,0)-EGARCH(2,1)-M-CVaR Model

Abstract

As the RMB exchange rate and the frequency of the amplitude is gradually expanding, the exchange rate risk increase, so the accurately measure of the RMB exchange rate and the RMB exchange rate volatility risk control and prevention has important significance. Through the central parity of RMB exchange rate from March 3 2014 to March 14 2016 as the research object, we establish the risk measurement system based on CVaR method, and we explain the empirical results and analysis of the RMB exchange rate market investor's behavior. Finally we proves that using the ARMA model (1.0) - EGARCH (2.1) - M - CVaR to measure the risks of the RMB exchange rate has a good effect, which is also one of the innovative points in the paper.