发帖
雷达卡
英文文献：Nonlinear models for autoregressive conditional heteroskedasticity-自回归条件异方差的非线性模型
英文文献作者：Timo Ter?svirta
英文文献摘要：
This paper contains a brief survey of nonlinear models of autoregressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multiplicative decomposition of the variance receive attention.
本文简要介绍了自回归条件异方差非线性模型。所讨论的模型是Engle(1982)原始模型的参数非线性扩展。在给出单个模型的基础上，讨论了线性检验和参数估计。考虑了非线性模型对波动率的预测。最后，提出了基于方差乘法分解的参数非线性模型。
京公网安备 11010802022788号
