一类多元函数系数GARCH-M模型研究  

Research on a Class of Multivariate Function Coefficient GARCH-M Model

作　　者：王思宇 张兴发 

机构地区：[1]广州大学经济与统计学院,广东 广州

出　　处：《统计学与应用》2024年第6期2170-2178,共9页Statistical and Application

摘　　要：本文将函数系数GARCH-M模型推广到多元情形,研究了一类多元函数系数GARCH-M模型,旨在把序列之间的交互作用引入到风险厌恶的研究上。文章给出了函数系数和模型参数的估计方法。数值模拟的结果表明,该方法的估计效果良好。实证分析基于上证综合指数和深证综合指数的日收益率数据,研究结果表明,多元函数系数GARCH-M模型能够更好地拟合所考虑的数据。In this paper, the GARCH-M model of function coefficients is extended to multivariate cases, and a class of GARCH-M model with multivariate function coefficients is studied, aiming at introducing the interaction between sequences into the study of risk aversion. The estimation methods of function coefficients and model parameters are given in this paper. Numerical simulation results show that the proposed method is effective. The empirical analysis is based on the daily return data of Shanghai Composite Index and Shenzhen Composite Index, and the research results show that the multivariate function coefficient GARCH-M model can better fit the considered data.

关 键 词：函数系数 GARCH-M模型 波动率 

分 类 号：F22[经济管理—国民经济]