ARCH(1)模型尾部稳定分布的存在性和唯一性  

Existence and Uniqueness of the Tail of the ARCH(1) Stationary Distribution

作　　者：侯利君[1] 

机构地区：[1]忻州师范学院,山西忻州034000

出　　处：《忻州师范学院学报》2008年第2期20-22,共3页Journal of Xinzhou Teachers University

摘　　要：文章中,我们考虑了ARCH模型类中,ARCH(1)模型的稳定分布的尾部。Engle(1982)提出的标准ARCH(1)模型中,误差项(εn)n∈N是均值为0的独立同分布的正态随机变量,而本文由ARCH(1)模型,定义一个随机等式,并假定(εn)n∈N是独立同分布的对称随机变量,证明了(Xn)n∈N有唯一的连续对称的稳定分布。In this thesis,We study the tail of the stationary distribution of an ARCH（ 1 ） model,In the article of Engle（1982） ,He defined the ARCH（ 1 ） model and supposed （εn）n∈N are i. i. d normal random variables, but in our thesis , we define a stochastic equation ,and consider the （εn）n∈N are i. i. d symmetric random variables. As to above model ,we introduce the required assumptions on the （εn）n∈N and distinguish between the so -called general conditions and the technical conditions, the following, we proved that （εn）n∈N has a unique stationary distribution and the stationary distribution is continuous and symmetric.

关 键 词：ARCH模型 重尾分布 稳定分布 

分 类 号：TB115[理学—数学]