摘要
应用不同分布下的ARCH类模型对1990-2013年的居民消费价格指数建立模型,对其不同分布下的ARCH类模型进行对比分析.分别在正态分布,T分布,广义误差分布下建立了ARCH模型,发现在不同的分布下其ARCH模型有不同的预测效果,得到了在广义误差分布下建立的GARCH模型最为精确.
The consumer price index plays an important role in the national macroeconomic analysis, and it is even more important in CPI＇s modeling prediction. By application of ARCH models under different distributions, a mathematical modeling is made of the consumer price indices from 1990 to 2013 and a contrastive analysis is also made of its ARCH models under different distributions. ARCH models are respectively established under normal distribution, T-distribution and generalized error distribution, finding that the ARCH model has different forecasting effect under different distributions with the GARCH models established under the generalized error distribution having the most accurate predictive power.
出处
《内江师范学院学报》
2014年第4期7-9,22,共4页
Journal of Neijiang Normal University
