自回归条件异方差模型在宏观经济预警中的应用

The Application of Model Auto-Regresive Conditional Heteroskedasticity Model to Macoroeconomic Warning

将ＡＲＣＨ模型引入宏观经济预警，讨论了ＡＲＣＨ预警系统的指标设计、ＡＲＣＨ预警方法以及预警警限的界定，给出了一种具有ＡＲＣＨ特征的警限界定方法。

In this paper,we put forward the ARCH Warning method,and discuss the design of index and the deadline of the warning system. Finally,we present a judgement method of warning deadline with ARCH feature.