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各位师兄师姐,我想使用arch模型研究金融收益率分布问题.在使用arch模型时有没有什么前提假设条件呢?比如要求数据具有什么条件.

另外,有没有谁研究金融收益率问题呢?交流交流好么,小弟现在非常非常困惑.急需高人指点迷津!

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关键词：ARCH ARC RCH ARCH模型 师兄师姐 ARCH

introduced by Engle(1982) and Bollerslev(1986), nowadays, models from the G(ARCH) class are the most popular volatility models among practitioners. GARCH models enjoy such popularity because they are capable of describing not only the feature of volatility clustering, but also certain other characteristics of financial time series, such as their pronounced excess kurtosis or fat-tailedness. researcheres don't have the talent as god to give any assumptions on the data which is generated from reality but they give assumptions when they are specifying models to replicate those statistical properties in the data. that's how the G(ARCH) class come from[see Chapter 3,Tsay's Analysis of financial time series for details in G(ARCH) class models].

同样的问题，值得交流