波动率模型及其ARCH与RCH扩展.pdfVIP

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VolatilityModel

$$\begin{array}{l}\tilde{r}_{t}=u_{t}+a_{t}\\a_{t}=\sigma_{t}\varepsilon_{t}\\

\varepsilon_{t}\stackrel{\mathrm{id}}{\sim}wN(0,1)\\\end{array}$$

ARCH(1)Model

22

σ  α+αa

t01t−1

22

→Shockattimet−2(large)a)willnotaffectσ.

t−2t

i.e.Volatilityreactsintensely