| Common Persistence and Error-Correction Mode in Conditional Variance |
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| 作者姓名： | LI Han-dong ZHANG Shi-ying School of Management Tianjin University Tianjin China |
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| 作者单位： | LI Han-dong，ZHANG Shi-ying School of Management，Tianjin University，Tianjin 300072，China |
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| 基金项目： | National Natural Science Foundation of China(No.69874 0 2 8) |
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| 摘 要： | 1 IntroductionThe persistence of GARCH model implies that the shocks of the current conditionalvariance remain persistent effects for the conditional variances of all future horizons,i.e.the current conditional variance would never be equal to zero as time is infinite.Theconception of persistence existing in the autoregressive conditional heteroscedasticityprocess was firstly introduced by Engle and Bollerslev ( 1 986) .They studied theintegration GARCH model or IGARCH model and analy…
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Common Persistence and Error-Correction Mode in Conditional Variance |
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| LI Han-dong,ZHANG Shi-ying School of Management,Tianjin University,Tianjin ,China.Common Persistence and Error-Correction Mode in Conditional Variance[J].Journal of Systems Science and Systems Engineering,2001,10(3). |
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| Authors: | LI Han-Dong ZHANG Shi-ying |
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| Institution: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence. |
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| Keywords: | vector GARCH process persistence co-persistence |
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