| GARCH模型的经验似然估计 |
| |
| 引用本文： | 张芳.GARCH模型的经验似然估计[J].四川理工学院学报(自然科学版),2012,25(5):87-91. |
| |
| 作者姓名： | 张芳 |
| |
| 作者单位： | 山东凯文科技职业学院,济南,250200 |
| |
| 基金项目： | 山东凯文科技职业学院自然科学基金项目 |
| |
| 摘 要： | 以计量经济学中ARCH模型族为背景,对GARCH模型进行讨论和研究。讨论了基于GED分布的β-ARCH模型和GARCH模型的经验极大似然估计的求解方法,得到了相应的平稳模型的大样本性质定理。
|
| 关 键 词： | 自回归条件异方差(ARCH)模型 广义自回归条件异方差(GARCH)模型 经验似然估计 |
Empirical Likelihood Estimation of GARCH Model |
| |
| ZHANG Fang.Empirical Likelihood Estimation of GARCH Model[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2012,25(5):87-91. |
| |
| Authors: | ZHANG Fang |
| |
| Institution: | ZHANG Fang (Shandong Kevin Science and Technology Vocational College,Jinan 250200,China) |
| |
| Abstract: | The GARCH models based on ARCH models in economics are discussed.The main work of this article is as follows: the empirical likelihood estimation of β-ARCH model and GARCH model are briefly discussed.Then,the large sample properties have been validated. |
| |
| Keywords: | auto-regressive conditional hetero scedasticity model (ARCH) general auto-regressive conditional heteroscedasticity model (GARCH) empirical likelihood estimation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
