RESEARCH ON ARCH MODEL

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.