多元GARCH模型结构特征、参数估计与假设检验研究综述

A Survey of the Structure Properties,Parameters Estimation and Hypothesis Test in Multivariate GARCH Models

可以采用多元GARCH模型对金融市场的相关问题进行研究,例如对单个资产收益的波动率和不同资产收益之间的条件协方差矩阵的研究等。本文分别以多元GARCH模型结构特征、参数估计和假设检验等为线索,系统地回顾了国内外对于多元GARCH模型的发展与最新研究成果,并对相关成果进行了分析和评价。最后指出了现在和未来该领域研究的主要方向。

The study of the relations between volatilities and co - volatilities of several markets or assets returns by multivariate GARCH models has been the hot topics in financial econometrics. This paper contains a survey of most important and latest multivariate GARCH models, and their structure properties, parameters esti- mation, hypothesis test are discussed. Finally, the paper presents likely developing trends and directions of future research in the conclusion.