Time series analysis applied in prediction of RMB′s exchange rate

Based on the application of time series model,some empirical studies into the daily data on RMB exchange rate are made.ARIMA and EGARCH models are built to simulate and forecast the pattern of the rate. The conclusion is that the predicted result of EGARCH model is more fitted than that of ARIMA model and the EGARCH model can describe the dynamic characteristics of RMB exchange rate more oppropriately.