摘要
ARCH模型的参数估计的统计性质都是在渐近意义下成立的,在实际中常用自助法再抽样扩大样本量从而验证参数估计值的稳定性.本文考察将成对自助法用于自回归条件异方差(ARCH)模型的一阶渐近有效性.
The statistical characters of parameters estimation for ARCH models are valid under asymptotic cases. In practicalapplication,the stability of the estimated parameters is put to the test in the model by using Bootstrap method repeatedly to enlargethe number of samples. This paper proved the validity of using pair-wise Bootstrap into ARCH models.
出处
《晋中学院学报》
2010年第3期24-26,共3页
Journal of Jinzhong University