| Two ARCH Models and Their Limitations as Diffusion Processes |
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| 作者姓名： | 杨海波 叶俊 |
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| 作者单位： | YANG Haibo，YE Jun Department of Mathematical Sciences，Tsinghua University，Beijing 100084，China |
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| 基金项目： | Supported by the National Natural Science Foundationof China(No.79970 12 0 ) |
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| 摘 要： | IntroductionMany financial time series such as stock returnsand exchange rates exhibit an important feature,conditional heteroskedasticity,which means thatmarket volatilities tend to cluster.This featurewas described in many financial fields as early asClark1] ,Merton2 ] and others.Engle3 ] firstintroduced the ARCH model which is now widelyused.An autoregressive model of order p with anARCH error term of order q can be written asYt=μ +1Yt-1+… +p Yt-p +εt (1 )εt|Ψt-1～ N (0 ,…
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Two ARCH Models and Their Limitations as Diffusion Processes |
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| YANG Haibo,YE Jun.Two ARCH Models and Their Limitations as Diffusion Processes[J].Tsinghua Science and Technology,2002,7(3). |
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| Authors: | YANG Haibo YE Jun |
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| Institution: | YANG Haibo,YE Jun Department of Mathematical Sciences,Tsinghua University,Beijing 100084,China |
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| Abstract: | |
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| Keywords: | ASDARCH APARCH diffusion processes |
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