Classical economics uses normal distribution as the basic assumption of economic
research. With the improvement of econometric methods, it is found that the assumption of normal
distribution is not correct in economics. First, we tested RMB exchange rate’s fractal characters.
Then, w e consider GARCH, f ractal ARIMA ARFIMA and f ractal IGARCH FIGARCH model
of RMB exchange rate to correct this normal distribution fault . Last, we find that those
untraditional model s is useful and favorable in RMB exchange rate analysis.