数学杂志
數學雜誌
수학잡지
JOURNAL OF MATHEMATICS
2010年
2期
320-326
,共7页
AGARCH%严平稳%高阶矩%尾行为
AGARCH%嚴平穩%高階矩%尾行為
AGARCH%엄평은%고계구%미행위
asymmetric Garch%strict stationary%higher moments%tail behavior
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.
本文研究瞭AGARCH模型的一些件質.利用隨機差分方程的有關結論,穫得瞭AGARCH模型的尾行為和高階矩存在的一箇充分條件,結果錶明這是對GARCH模型的相應的推廣.
본문연구료AGARCH모형적일사건질.이용수궤차분방정적유관결론,획득료AGARCH모형적미행위화고계구존재적일개충분조건,결과표명저시대GARCH모형적상응적추엄.
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.
