摘要:本文对ARCH及其衍变模型进行了分析和总结,提出了直交门槛一般化自回归条件异方差(0rthogonal TGARCH)模型.通过模型平稳性测试、AR效果检定、ARCH效果检定、模型阶数鉴定、模型参数估计与模型诊断对模型进行评估,作者认为这种模型在估计投资组合资产收益的波动性上优越ARCH及其衍变模型.
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