具有定期变化扰动的GARCH（1,1）模型参数评估.pdfVIP

中国科技论文在线 具有定期变化扰动的 GARCH （1,1）模型参 数评估# 1,2 1 1* 陈海龙 ，刘春丽 ，由承姬 5 （1. 哈尔滨理工大学计算机科学与技术学院，哈尔滨 150080 ； 2. 哈尔滨工程大学计算机科学与技术学院，哈尔滨 150010 ） 摘要：现实中的金融时间序列存在严重的波动集聚性，即大幅波动往往集中在某一时段，小 幅波动往往集中在另一时段。而GARCH 类模型能较好地描述金融时间序列波动的动态变化 特征，捕捉其聚类和异方差现象。本文首先构建最大似然函数的变形，然后在此基础上来评 10 估带有指数为 α 0 定期变化分布扰动的GARCH （1,1 ）模型参数，最后进一步证明所构造 评估的可信性和渐近正态分布性。 关键词：GARCH 过程；扰动；定期变化分布；参数估计 中图分类号：TP399 15 PARAMETERS ESTIMATION OF GARCH(1,1) PROCESS WITH THE ERRORS HAVING REGULARLY VARYING DISTRIBUTION 1,2 1 1 CHEN Hailong , LIU Chunli , YOU Chengji (1. School of Computer Science and Technology, Harbin University of Science and Technology, 20 Harbin 150080; 2. College of Computer Science and Technology, Harbin Engineering University, Harbin 150010) Abstract: In practice, Financial Time Series have serious volatility cluster, that is large volatility tend to be concentrated in a certain period of time, and small volatility tend to be concentrated in another period of time. While GARCH models can well describe the dynamic changes of the 25 volatility of financial time series, and capture the cluster and heteroscedasticity phenomena. At the beginning of this paper, the modification of maximum likelihood function has been constructed as the theoretical basis of this study.