知识与财富的链接
针对金融数据具有丛集性与异方差性的特征,给出了最能反映这一特征的研究方法,在此基础上,比较系统地介绍了ＡＲＣＨ模型及其若干变形,参数估计与假设检验,讨论了金融系统ＡＲＣＨ模型的应用前景。
ARCH model,autoregressive conditional heteroskedasticity,is a model for time sequence analysis which developed after 1982.Based on the analysis of data character in finance markets,the form and classes of ARCH,its parameter estimation,hypothesis test,and