| 摘 要： | 1 IntroductionAstylizedfactoffinancialtimeseriesisthataberrantobservationsseemtoclusterinthesensethatthereareperiodswherevolatilityislargerthaninotherperiods.Typically,thesevolatileperiodscorrespondtomajor(economic)eventssuchasstockmarketcrashesandoilcrises.Althoughmostevidenceinempiricalfinanceindicatesthatreturnonfinancialassetsseemunforecastableatshorthorizons(seee.g.Granger,1992,forarecentsurvey),thecurrentconsensusisthatthevarianceofreturnscanbepredictedusingparticulartimeseriesmodels.W…
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