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GARCH模型两步厚尾估计的诊断检验
冯牧1; 王萌2; 龚朝庭3
2018
Source Publication应用数学学报
ISSN0254-3079
Volume041Issue:001Pages:55
AbstractGARCH模型在金融时间序列建模中有广泛的应用,其参数的估计精度和模型的诊断检验一直是人们关注的两大问题.本文针对平稳GARCH模型,构建了新的两步NGQMELE,在残差的二阶矩有限情况下建立了两步NGQMELE的相合性和渐进正态性.另外,针对该估计提出了基于残差绝对值及平方值的自相关函数的拟合优度检验统计量Q(M),Q^2(M),并分别在二阶矩有限和四阶矩有限的情况下证明了它们的渐进性质.数值模拟和实例分析结果都显示出Q(M)是在厚尾情形下更优的—个检验.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/44839
Collection中国科学院数学与系统科学研究院
Affiliation1.中国科学技术大学
2.博时基金管理有限公司
3.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
冯牧,王萌,龚朝庭. GARCH模型两步厚尾估计的诊断检验[J]. 应用数学学报,2018,041(001):55.
APA 冯牧,王萌,&龚朝庭.(2018).GARCH模型两步厚尾估计的诊断检验.应用数学学报,041(001),55.
MLA 冯牧,et al."GARCH模型两步厚尾估计的诊断检验".应用数学学报 041.001(2018):55.
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