波动协同持续存在性研究.pdfVIP

V.L22 No.S 第22 卷第5 朔 系统工程学 m 2ω7 年 10 月 jOURNAL OF SYSTEMS ENG1NEER1NG 0叫 Z侃W 波动协同持续存在性研究① 杜子平11 ，张维1 (1.天禄大学管理学院，天滩 3仪灿72; 2. 天津科技大学经济与管理学院，天津 300222) 摘要:本主对几种f 维 GARCH 模烈的波动待续性足协同持续性条件进行了分析和研究，得出正史GARCH、 广义iE.史 GARCH、完全筒子 GARCH 过程的协向持续格各分量波动过程的协整存在啻切的关单，而 H.也mard 乘积 GARC问过粮不存在协同持续，8EKKGARCH 过税在阁于模型的在边下存在协同持绩，常命件相是 GARCH 过程不存在园子在J!if姑悔. 关键诩:多缴GARCH，协网将续饺 中幽分袭击~: F224.0 文献标识码:A 文难编4费: !C阳的 -578t(拟n)05 ωω98 -06 Study of existence of co-persistence in voJatility DU ZI嗣ping.2 ， ZHANG Wei ( 1. School of Management , Tianjin Universi町， Tian如3创J072 ， China; 2. School of Economic and Management , Tíanjin Universìty of Science Technology , Tianjin 3ω222 ， China) Abst阳E址: It is studied in this paper 由at what is the conditions of persi翻tence and co-persisten耐 in volatilily of multiv旧iate GARCH mooels. It is .howed that there i篇 close relationship hetween 00- persistence in volatility 8nd cointegration of every component volatility proce制棚 for orthogonal GARCH , general orthogonal GARCH 四d full factor GARCH mooels. Meanwhile , it is proved 阳t there is not co-persistence in volatility for Hadamand GARCH model , bul the co-persislence in vola- 创i印刷ists for BEKK GARCH model under factor expression. In addition , it is also discu嗣ed 出刷 刷刷刷1 conditional correlalion GARCH model c削阳，1 he 础p阳时幽 factor model. Key words: multivariate GARCH; co-persistence in volatility o ~I 育 资，风险防范与控制布辛苦蠢事害的E理论与现实意义. 房 1993