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安徽财经大学中级计量经济学课件第二章第二节 ARCH和GARCH模型。
Inference on multivariate ARCH processes with large sizes
Inference multivariate ARCH processes large sizes
2010/10/29
The covariance matrix is formulated in the framework of a linear multivariate ARCH
process with long memory, where the natural cross product structure of the covariance is
generalized by adding two ...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
ARCH族－VaR方法在外汇投资的风险测量
外汇投资 ARCH族－VaR方法
2008/12/17
外汇市场波动剧烈，要在汇市上进行交易，则要有很强的风险管理能力，而风险管理的基础是风险测量。当前国际上，定量风险管理方法是金融领域研究的焦点，其中J P Morgan（1994）提出的VaR（value at risk）方法的研究和应用最为突出。在金融时间序列波动方面的研究， Engle (1982)提出的ARCH族模型的研究取得了很突出的成果，这种模型能很好的描述金融时间序列的尖...
基于状态转移ARCH模型的中国股市波动性研究
中国股市 ARCH模型 状态转移
2008/6/5
通过引入波动性状态转移的ARCH(SWARCH) 模型对中国股票市场的波动性进行了研究。SWARCH模型较传统的ARCH类模型显著地提高了股票市场波动性的描述与预测能力。实证结果表明,促使中国股市低波动性状态向高波动性状态转移的主要原因是股市的政策因素,这与因为实体经济基础的变化而促使美国股市波动性状态转移有着本质的区别。
ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
ARCH GARCH Models Martingale Volatility Finance Market Returns
2010/12/17
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary ...