摘要
首先在理论上证明了变结构GARCH模型与IGARCH模型的关系,从而给出了波动持续性产生的一个主要原因,其次基于变结构GARCH模型伪持续性的概念给出了多元变结构门限GARCH模型伪协同持续性的定义;最后应用深圳和上海两个股市的日数据进行实证研究,表明两个股市的波动都存在很强的持续性,且他们之间是伪协同持续的.
Volatility persistence is an important property of finance time series. The relationship between GARCH model with structural change and IGARCH model is proved in theory, and the definition of spurious co - persistence of threshold vector GARCH model with structural change is given based on spurious persistence in volatility. Empirical results show that daily return series of Shanghai and Shenzhen have strong persistence in volatility and they are spurious co- persistent.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第10期71-76,92,共7页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70471050)
