Improvement of the VaR Method for Foreign Exchange Risk Measurement Based on Macro Information Released

This paper, based on GARCH model, investigates the impact towards foreign exchange market of 13 kinds of macroeconomic information, and finds the released information of Sino-American monetary and retail trade has the biggest influence on foreign exchange market. As Chinese monetary policy, investment and consumer information, as well as American monetary policy and real estate information have been released, the market appears abnormal return rate; after Chinese currency and consumer information as well as American trade and consumer information have been released, the foreign exchange market volatility aggravates and continues. This paper attempts to use the GARCH model with macro information based on the VaR method to measure foreign exchange risk renewedly. Finally we find adding macro information into the model could increase the information of estimation which would improve the VaR measurement results.