一族GARCH 模型的概率性质

Abstract

摘要: 简要回顾了异方差ARCH( GARCH) 模型的有关背景, 并以此为基础提出了一族广义自回归条件异方差 ( GARCH) 模型hδt = gt - 1 + ct - 1 hρt - 1 ,然后讨论了这族广义自回归条件异方差( GARCH) 模型的严平稳性及遍历性, 同时给出了该模型存在高阶矩的充分条件,并对这族GARCH 模型的一类子模型进行了模拟. Abstract : In this paper , we briefly review the history of ARCH( GARCH) models. And basing on the back2 ground , we develop a family of GARCH model hδt = gt - 1 + ct - 1 hρt - 1 , then discuss the st rict stationarity and er2 godicity of a family of GARCH models ,and give the sufficient conditions for the existence of higher2order mo2 ment s of the models. We also simulate a sub2family of models in our models.