ARMA GARCH Mo Xing Zhi Bei Shi Fen Xi
Shi Jian Xu Lie Fen Xi Yi Pu Bian Di Ying Yong Yu Ge Ling Yu Qi Zhong GARCH (Bollerslev, 1986) Mo Xing Ke Yi Jie Du Jing Ji Yu Cai Wu De Shi Jian Xu Lie Zhong Chang Jian De Gao Xia Feng (Ieptokurtic) Fen Pei Yu Bo Dong Cong Ju (volatility clustering) Xian Xiang Wen Xian Zhong Zhi Chu Harvey and Shephard (1993) Ji Harvey (1994) Shi Yong Zhun Zui Da Gai Si Gu Ji GARCH Mo Xing De Can Shu So (1997) He Shephard (1994) Yi EM De Mo Ni Fang Fa Lai Gu Ji Qi Zui Da Gai Si Gu Ji Shephard (1993) Jacquier (1994) Pitt (1997) Pitt and Shephard (1999) Kim (1998) So (1998) Ze Yi Bei Shi Yan Jiu Zhong Chang Jian De Ma Ke Fu Lian Meng Di Qia Luo Fa (MCMC) Qiu De Can Shu De Jin Si Bei Shi Gu Ji Zhi Wei Liao Shi Mo Xing Neng Gou Geng Jia Fu He Zi Liao De Te Xing Mo Xing De Xuan Ze Cheng Liao Yi Ge Ling Ren Guan Zhu De Jiao Dian Chuan Tong Mo Xing Jian Ding De Fang Fa Duo Ban Shi Kao Yi Xie Xun Xi Zhun Ze Ru Akaike (1974) Ti Chu De AIC, Schwarz (1978) Ti Chu De BIC, CAIC Yu CAICF Deng Zai Bei Shi Tong Ji Fang Fa Zhu Jian Bei Zhong Duo Xue Zhe Jie Shou Yu Dian Nao Yun Suan Ji Shu De Kuai Su Fa Zhan Xia Xu Duo Ren Kai Shi Li Yong Bei Shi De Fang Shi Dui Mo Xing Jin Xing Fen Xi Green (1995) Ti Chu Ke Ni Tiao Yue Shi Ma Ke Fu Lian Meng Di Qia Luo Fa (RJMCMC),Ta Jian Gou Chu Yi Ge Ke Ni Zhuan De Ma Ke Fu Lian Ke Yi Zai Bu Tong Wei Du De Can Shu Kong Jian Yi Dong Zui Da De Te Dian Zai RJMCMC Fa Yun Xu Mo Xing Zai Bu Tong Wei Du Can Shu Kong Jian Li Jin Xing Tiao Dong Bing Zuo Gu Ji Can Shu Xu Kai Jia (2005) Chen Ya Qi (2006) He Xu Yu Qi (2007) Fen Bie Ying Yong RJMCMC Fa Dui Bu Tong De Shi Jian Xu Lie Mo Xing Jin Xing Mo Xing Xuan Ze Fen Xi Ci Lun Wen Ze Zhen Dui ARMA GARCH Mo Xing Jin Xing Yan Jiu ,Ying Yong MCMC Fa Lai Gu Ji Can Shu Bing Yi RJMCMC Fa Lai Xuan Ze Mo Xing Sui Ran Wo Men Zai Mo Ni De Zi Liao Yu Shi Li Zi Liao (Mei Guo Xi De Zhou Yuan You Jia Ge 2000 Nian 1 Yue 3 Ri Zhi 2009 Nian 6 Yue 1 Ri Zhi Kao Lu 11 Ge Mo Xing Zai Li Lun Shang Wo Men De Fang Fa Ke Yan Shen Cong Wu Qiong Duo De Mo Xing Zhong Cheng Gong Tiao Chu Zheng Que Mo Xing