带约束条件的AGARCH模型

An AGARCH Model with Constraints

自 Ｅｎｇｌｅ（１９８２）首创 ＡＲＣＨ模型以来，各种推广和变异模型纷纷问世，形成庞大的 ＡＲＣＨ类模型族．这些模型普遍存在一个缺陷：通常只限制条件方差函数的系数非负以保证条件方差非负，并且在正态分布假设下用最大似然方法进行估计．本文明确提出带约束条件的ＡＧＡＲＣＨ模型这一新概念，并用非线性规划方法代替最大似然方法对模型进行估计．实证结果表明这样的作法是可行且较优的．

Since the first ARCH model introduced by Engle (1982), its various extensions keep emerging one after another. However, there is a common backward among these models: only nonnegativity is supposed on the coeffcients in their conditional variance functions to guarantee conditional variance nonnegative ,and the maxi- mum likelihood method is used to estimate the models. This paper suggests a new concept of AGARCH model with constraints ,and sue nonlinear programming method to estimate the model instead of MLE.The empirical study shows that the model suggested in this paper is feasible and better than the traditional ones.