峰度
汇率
计量经济学
人民币
波动性(金融)
经济
偏斜
杠杆(统计)
杠杆效应
ARCH模型
货币经济学
数学
统计
作者
Xinyu Wu,Xueting Mei,Li Liu
标识
DOI:10.1080/13504851.2022.2146648
摘要
In this paper, we investigate the predictive value of time-varying higher moments and time-varying risk aversion (RA) for the RMB exchange rate volatility. To do so, we develop a threshold GARCH-MIDAS model with skewness and kurtosis (henceforth TGARCH-MIDAS-SK model). Our empirical results indicate the presence of significant reverse leverage effect and time-varying skewness and kurtosis in the RMB exchange rate returns. The RA has a significant negative impact on the RMB exchange rate volatility. Moreover, we observe that incorporating leverage effect, time-varying higher moments and RA improves the in-sample fitting and out-of-sample forecasting performance of the model.
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