ARCH模型体系  

ARCH modelling system

作　　者：张世英[1] 柯珂[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2002年第3期236-245,共10页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目 (70 1710 0 1)

摘　　要：综述了国内外在 ARCH模型领域的研究成果 ,并将 ARCH模型族归纳为一个体系 .首先 ,对 ARCH模型进行了分类 ,同时讨论了长记忆 ARCH模型的性能 .探讨了 ARCH模型的检验和参数估计问题 .文中指出 ,对复杂 ARCH模型 ,鉴于其不可微分性 ,不存在传统意义下的似然函数的估计方法 ,文中运用遗传算法的思想 ,提出禁忌递阶遗传算法 ,解决复杂 ARCH模型的参数估计和检验问题 .最后 ,对In this paper, the literature survey of the development in ARCH modeling and attempts to make the ARCH family of models a system. Firstly, the ARCH model are classified. Besides, the quality of the long memory ARCH model are discussed. The problem of testing and parameters estimation for ARCH models are described. The paper points out that according to complex ARCH model that cant be differential, traditional likelihood estimation method and most parameter optimizateion methods are invalid. The tabu search hybrid hierarchy genetic algorithm which can be proposed to estimate and testing for complex ARCH model. Finally, the further research for ARCH models is remarked.

关 键 词：自回归条件 异方差模型 分整理论 持续性 计量经济学 ARCH模型 

分 类 号：F244.0[经济管理—劳动经济]