自回归条件异方差模型的模拟

Stimulation Based on Autoregressive Conditional Heteroskedasticity Model

通过介绍怎样利用SAS/ETS中的自回归(Autoreg)过程实现条件异方差(ARCH)模型数据的分析,将理论与实践相结合,利用SAS/IML软件模拟两组(一组为ARCH(q)模型,另一组为AR(m)-ARCH(q)模型)ARCH数据,然后调用自回归过程对两组数据分别用相应ARCH模型进行数据拟合,得到理想结果.

This paper introduces how to use SAS/IML software simulating two groups（a group is a ARCH（q） model,another group for AR（m）-ARCH（q） model） the ARCH data,then transfering the Autoreg process to use the corresponding ARCH model to two groups of data to carry on the data fitting separately,and obtainint the result to be ideal.