| 自回归条件异方差模型的模拟 |
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| 引用本文： | 牛效丽,宋向东,杨洋,曾慧.自回归条件异方差模型的模拟[J].甘肃联合大学学报(自然科学版),2007,21(5):27-30,51. |
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| 作者姓名： | 牛效丽 宋向东 杨洋 曾慧 |
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| 作者单位： | 燕山大学,理学院,河北,秦皇岛,066004 |
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| 摘 要： | 通过介绍怎样利用SAS/ETS中的自回归(Autoreg)过程实现条件异方差(ARCH)模型数据的分析,将理论与实践相结合,利用SAS/IML软件模拟两组(一组为ARCH(q)模型,另一组为AR(m)-ARCH(q)模型)ARCH数据,然后调用自回归过程对两组数据分别用相应ARCH模型进行效据拟合,得到理想结果.
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| 关 键 词： | 时间序列 自回归条件异方差模型 最大似然估计 条件异方差检验 |
| 文章编号： | 1672-691X（2007）05-0027-05 |
| 修稿时间： | 2007-04-23 |
Stimulation Based on Autoregressive Conditional Heteroskedasticity Model |
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| NIU Xiao-li,SONG Xiang-dong,YANG Yang,ZENG Hui.Stimulation Based on Autoregressive Conditional Heteroskedasticity Model[J].Journal of Gansu Lianhe University :Natural Sciences,2007,21(5):27-30,51. |
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| Authors: | NIU Xiao-li SONG Xiang-dong YANG Yang ZENG Hui |
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| Institution: | School of Science,Yanshan University,Qinhuangdao 066004,China |
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| Abstract: | This paper introduces how to use SAS/IML software simulating two groups(a group is a ARCH(q) model,another group for AR(m)-ARCH(q) model) the ARCH data,then transfering the Autoreg process to use the corresponding ARCH model to two groups of data to carry on the data fitting separately,and obtainint the result to be ideal. |
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| Keywords: | time series ARCH model maximum likelihood estimation condition different variance examination |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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