摘要
以计量经济学中ARCH模型族为背景,对GARCH模型进行讨论和研究。讨论了基于GED分布的β-ARCH模型和GARCH模型的经验极大似然估计的求解方法,得到了相应的平稳模型的大样本性质定理。
The GARCH models based on ARCH models in economics are discussed. The main work of this article is as follows : the empirical likelihood estimation ofβ-ARCH model and GARCH model are briefly discussed. Then, the large sam- ple properties have been validated.
出处
《四川理工学院学报(自然科学版)》
CAS
2012年第5期87-91,共5页
Journal of Sichuan University of Science & Engineering(Natural Science Edition)
基金
山东凯文科技职业学院自然科学基金项目(kw22010-06)
关键词
自回归条件异方差(ARCH)模型
广义自回归条件异方差(GARCH)模型
经验似然估计
auto-regressive conditional hetero scedasticity model (ARCH)
general auto-regressive conditional heteroscedasticity model (GARCH)
empirical likelihood estimation