ARCH模型的研究与探讨
RESEARCH ON ARCH MODEL
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摘要: 自回归条件异方差(ARCH)模型是近年来新发展起来的时间序列模型,它反映了随机过程的一种特殊特性:即方差随时间变化而变化,且具有丛集性、波动性.ARCH 模型已广泛地应用于经济领域的建模及研究过程中.本文介绍了ARCH 模型的特点,它的参数估计和检验,以及ARCH 模型的发展情况.Abstract: Autoregressive Conditional Heteroscedastic model is the newly developed time series model, which reflects the special characteristics of stochastic process:the variance changes with the time changing and the variance is crowd together and fluctuated. ARCH model has been widely applied in modeling and research of economic field, especially of financial markets. This paper introduces the characteristics of ARCH model, it's estimation and test of parameter and its development in detail.