| 一个非对称GARCH模型的若干性质 |
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| 引用本文： | 潘保国,邓爱姣.一个非对称GARCH模型的若干性质[J].数学杂志,2010,30(2). |
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| 作者姓名： | 潘保国 邓爱姣 |
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| 作者单位： | 1. 湖南科技学院数学与计算科学学院,湖南,永州,425100
2. 武汉大学数学与统计学院,湖北,武汉,430072 |
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| 摘 要： | 本文研究了AGARCH模型的一些件质.利用随机差分方程的有关结论,获得了AGARCH模型的尾行为和高阶矩存在的一个充分条件,结果表明这是对GARCH模型的相应的推广.
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| 关 键 词： | 严平稳 高阶矩 尾行为 |
SOME PROPERTIES OF A MODEL FOR ASYMMETRIC GARCH |
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| PAN Bao-guo,DENG Ai-jiao.SOME PROPERTIES OF A MODEL FOR ASYMMETRIC GARCH[J].Journal of Mathematics,2010,30(2). |
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| Authors: | PAN Bao-guo DENG Ai-jiao |
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| Institution: | PAN Bao-guo1,DENG Ai-jiao2(1.Dept.of Math., Computation,Hunan University of Science , Engineering,Yongzhou 425100,China)(2.School of Math., Statistics,Wuhan University,Wuhan 430072,China) |
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| Abstract: | In the article,some properties of the asymmetric Garch model are studied.By using some results on stochastic difference equations,the tail behavior of the model and the sufficient condition for its higher moments existence are derived.The counterparts of the Garch model are extended. |
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| Keywords: | AGARCH asymmetric Garch strict stationary higher moments tail behavior |
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