| ARCH模型在金融时间序列中的拟合应用 |
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| 引用本文： | 杜普燕,宋向东,任文军.ARCH模型在金融时间序列中的拟合应用[J].佳木斯大学学报,2009,27(2). |
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| 作者姓名： | 杜普燕 宋向东 任文军 |
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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： | 讨论了自回归条件异方差(Autoregressive Conditional Heteroskedastic,简称ARCH)模型在金融时间序列分析中的拟合应用,以一金融时间序列为例,通过SAS/ETS中的自回归(Autoreh)过程实现对该金融时间序列的自回归-广义自回归条件异方差(Autoregressive-generalzed ARCH,简称AR-GARCH)模型的拟合和分析,最终得到理想结果.
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| 关 键 词： | ARCH模型 金融时间序列 AR-GARCH模型 |
Fitting Application Based on ARCH Model in the Financial Time Series |
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| DU Pu-yan,SONG Xiang-dong,REN Wen-jun.Fitting Application Based on ARCH Model in the Financial Time Series[J].Journal of Jiamusi University(Natural Science Edition),2009,27(2). |
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| Authors: | DU Pu-yan SONG Xiang-dong REN Wen-jun |
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| Institution: | College of Science;Yanshan University;Qinhuangdao 066004;China |
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| Abstract: | This paper discusses the fitting application of the autoregressive conditional heteroskedasticity(ARCH) model in the financial time series.Take a group of financial time series for example,then use the Autoreg process in the SAS/ETS to achieve the fitting of the autoregression-generalized autoregressive conditional heteroskedasticity(AR-GARCH) model and finally get perfect result. |
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| Keywords: | SAS |
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