关于ARCH模型的Bayes参数估计及变点分析

The Bayes Parameter Estimation of ARCH Models and the Analysis of its Change-Point

本文利用Bayes原理对ARCH(p,q)模型的参数估计进行讨论,通过比较发现比通常的极大似然估计优良,稳定性好,并基于此对ARCH(p,q)模型的变点采用CUSUM统计量结合实证作了分析,结果证明与实际相吻合.

We consider parater estimaiton of ARCH models with Bayes methods.And through a simulation study,it is demonstrated that the Bayes parameter estimation is better than maximum likelihood estimation.At last,we apply Bayes methods in CUSUM test to stock yield,and inosculate to real datas.