GARCH-Jump模型对跳行为捕捉能力的讨论  

Discussion of jumps catching capability of GARCH-Jump model

作　　者：沐年国[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海理工大学学报》2007年第1期32-36,共5页Journal of University of Shanghai For Science and Technology

基　　金：国家自然科学基金资助项目(70371070);上海市重点学科建设资助项目(T0502)

摘　　要：讨论了GARCH-Jump模型的自回归结构对跳行为的影响,阐述了该模型在两种情况下由跳引发的数据失真.分析了模型跳部件与连续路径部件之间不能等同视之原因,得出GARCH模型不能适用于处理带跳金融数据的结论.最后提出了TGARCH-Jump模型的思想修正由无条件跳带来的数据失真.A discussion about autoregressive structure in GARCH-Jump model of DPS（2003） is provided. There will appear data distortion in GARCH-Jump model under two special jump cases and the reason why the jump component and the continuous path data can＇t be treated equally is illustrated. Limitations of GARCH model in dealing with Jump process is described and how to figure out the distortion is investigated. An idea to modify GARCH-Jump model is presented to decrease the distortion raised up by unconditional jumps.

关 键 词：跳 GARCH模型 GARCH-Jump模型 

分 类 号：F830.9[经济管理—金融学]