随机影响变截距面板GARCH(1,1)模型及其应用

Variable Intercept Panel GARCH(1,1) Model with Random Effect and Its Application

本文提出了具有随机影响的变截距面板GARCH(1,1)模型,应用基于面板数据的拉格朗日乘数(LM)法对该过程的GARCH效应进行检验,并给出模型参数的最大似然估计(MLE),最后对我国5个区域的外商直接投资(FDI)构建了面板数据条件异方差模型,分析了外商直接投资的波动性及其意义,得到比固定影响模型更好的结论。

Variable intercept panel GARCH （1, 1） model with random effect is proposed, then Lagrange Multiplier method based on panel data is applied to conditional heteroscedasticity test, and maximum likelihood estimators of the parameters is given. Finally, volatility of FDI in China is analyzed using REVI-panel GARCH （1, 1） model, empirical results indicate that the model outperforms variable interceot panel GARCH （1, 1） model with fixed effect.