带随机延滞的衍生的ARCH模型的几何遍历性  

Geometric Stability of a Threshold ARMA-ARCH Model with 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：《华东交通大学学报》2008年第1期120-122,140,共4页Journal of East China Jiaotong University

基　　金：江西理工大学校级基金资助项目

摘　　要：引入了带随机延滞的门限自回归滑动平均-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滑动平均-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滑动平均-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 ARMA-ARCH model with random delay is proposed. Its limited behavior is discussed and the sufficient condition for its convergence is obtained. This paper makes threshold ARMA-ARCH model with fixed time delay to threshold ARMA-ARCH model with random time delay, so it can better imitate many substantial problems in the real world. On the other hand, this paper popularizes the ARCH model, which makes the model more adaptive to improve application 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]