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-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,t=gt-1+ct-1hρ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.
In this paper, we briefly review the history of ARCH(GARCH) models. And basing on the background, we develop a family of GARCH model h~δ_t=g_(t-1)+c_(t-1)h~ρ_(t-1), then discuss the strict stationarity and ergodicity of a family of GARCH models ,and give the sufficient conditions for the existence of higher-order moments of the models. We also simulate a sub-family of models in our models.
出处
《厦门大学学报（自然科学版）》
CAS
CSCD
北大核心
2004年第4期460-464,共5页
Journal of Xiamen University：Natural Science
基金
厦门大学校级自选课题(0020Y07008)
