GARCH模型族及其在金融市场中的应用研究综述  

Review of GARCH model family and its application in financial market

作　　者：聂巧平[1] 胡冰倩 NIE Qiao-ping;HU Bing-qian(School of Economics,Tianjin University of Commerce,Tianjin 300134,China)

机构地区：[1]天津商业大学经济学院,天津300134

出　　处：《天津商业大学学报》2020年第2期52-58,共7页Journal of Tianjin University of Commerce

摘　　要：基于低频数据、高频数据、混频数据和国际金融市场之间的联动性,对ARCH、GARCH模型及其拓展进行了介绍,并在此基础上对国内外关于GARCH模型族在金融市场中的应用进行了综述,最后对各个模型的使用情况进行了对比分析。Based on the low-frequency data,high-frequency data,mixed-frequency data and the linkage between international financial markets,this paper gives an introduction to ARCH model,GARCH model and their extensions,and on this basis,reviews the applications of GARCH model family in financial markets at home and abroad.Finally,it makes a brief comparative analysis of the application of each model.

关 键 词：ARCH模型 GARCH模型族 应用综述 比较分析 

分 类 号：F83[经济管理—金融学]