带随机延滞的门限ARCH模型的稳定性  

The Stability of a Threshold ARCH Model with Random Delay

作　　者：王允艳[1] 唐明田[1] 

机构地区：[1]江西理工大学理学院,江西赣州341000

出　　处：《江西理工大学学报》2007年第4期63-67,共5页Journal of Jiangxi University of Science and Technology

摘　　要：引入了带随机延滞的门限自回归条件异方差模型,讨论了这个模型的极限行为,并给出了该模型以几何速率收敛的充分条件.该模型将固定延滞的衍生的门限自回归条件异方差模型推广为延滞受到一个有限状态马氏链控制的衍生的门限自回归条件异方差模型,能更好的拟合现实世界中的诸多实际问题.同时,推广了自回归条件异方差模型,增强了模型的适应性,能够更好的拟合金融市场中价格行为波动的现象.In this article, a new class of threshold ARCH model with random delay is proposed. It＇s limit behavior is discussed and the sufficient condition for its convergence is obtained. This paper make threshold ARCH model with fixed time delay to threshold ARCH model with random time delay, so it can simulate many substantial problems in the real world better. On the other hand, this paper popularizes the ARCH model, this make the model adaptive, so it can better applicable to phenomena of price behavior fluctuation in financial market.

关 键 词：马氏链 随机延滞 极限行为 几何遍历 

分 类 号：O211.61[理学—概率论与数理统计]