| 非对称Log-GARCH模型及重尾新息下的准极大似然估计 |
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| 引用本文： | 董晨昱,刘维奇.非对称Log-GARCH模型及重尾新息下的准极大似然估计[J].山西大学学报(自然科学版),2009,32(3). |
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| 作者姓名： | 董晨昱 刘维奇 |
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| 作者单位： | 1. 山西大学数学科学学院,山西,太原,030006
2. 山西大学管理科学与工程研究所,山西,太原,030006 |
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| 基金项目： | 山西省人文社会科学重点研究基地项目"金融复杂性实证研究" |
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| 摘 要： | 在Geweke(1986)和Pantula(1986)提出的Log-GARCH模型及Nelson(1991)提出的EGARCH模型的基础上,提出了非对称Log-GARCH(Asymmetric Log-GARCH)模型,该模型不仅考虑了信息非对称效应,和EGARCH模型相比,在重尾误差下更容易得到准极大似然估计,最后文章还给出了估计的渐进性质.
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| 关 键 词： | 非对称 重尾误差 准极大似然估计 |
Asymmetric Log-GARCH Model and Maximum Likelihood Estimator Based on Heavy-Tailed Errors |
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| DONG Chen-yu,LIU Wei-qi.Asymmetric Log-GARCH Model and Maximum Likelihood Estimator Based on Heavy-Tailed Errors[J].Journal of Shanxi University (Natural Science Edition),2009,32(3). |
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| Authors: | DONG Chen-yu LIU Wei-qi |
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| Abstract: | In the present paper, Asymmetric Log-GARCH Model was put forward on the basis of Log-GARCH,rasied by Geweke(1986)and Pantula(1986), and the EGARCH Model,rasied by Nelson(1991). This Model not only took Asymmetric information effect into account, and at the same time, compared with the EGARCH Model, but also was easier to obtain the Quasimaximum likelihood estimator in the case of Heavy-tailed errors. At last,the asymptotic nature of the estimator was provided. |
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| Keywords: | Log-GARCH |
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