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A new VaR method based on information released

This paper attempts to use the GARCH model with macro information based on the VaR method to measure foreign exchange risk. We investigate the impact towards foreign exchange market of the macroeconomic information, and finds the released information of Sino-American monetary and retail trade has the biggest influence on foreign exchange market. We find adding macro information into the model could increase the information of estimation which would improve the VaR measurement results.