一族GARCH 模型的概率性质
| dc.contributor.author | 李正开 | zh_CN |
| dc.contributor.author | 刘继春 | zh_CN |
| dc.contributor.author | 姚伟杰 | zh_CN |
| dc.date.accessioned | 2011-04-26T08:17:53Z | |
| dc.date.available | 2011-04-26T08:17:53Z | |
| dc.date.issued | 2004-07 | zh_CN |
| dc.description.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. | zh_CN |
| dc.description.sponsorship | 厦门大学校级自选课题(0020Y07008) | zh_CN |
| dc.identifier.citation | 厦门大学学报(自然科学版)，2004（7）：460-464 | zh_CN |
| dc.identifier.uri | https://dspace.xmu.edu.cn/handle/2288/6608 | |
| dc.language.iso | zh | zh_CN |
| dc.publisher | 《厦门大学学报(自然科学版)》编辑部 | zh_CN |
| dc.relation.ispartofseries | 043820479 (2004) 0420460205 | zh_CN |
| dc.subject | 广义自回归条件异方差 | zh_CN |
| dc.subject | 严平稳性 | zh_CN |
| dc.subject | 遍历性 | zh_CN |
| dc.subject | GARCH | zh_CN |
| dc.subject | st rict stationarity | zh_CN |
| dc.subject | uniqueness | zh_CN |
| dc.subject | ergodicity | zh_CN |
| dc.title | 一族GARCH 模型的概率性质 | zh_CN |
| dc.title.alternative | On the Probabilistic Properties of a Family of GARCH Models | zh_CN |
| dc.type | Article | zh_CN |