| 连续时间GARCH(1,1)模型的参数估计及其实证分析 |
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| 引用本文： | 张德飞,张万秀,何萍.连续时间GARCH(1,1)模型的参数估计及其实证分析[J].玉溪师范学院学报,2008,24(8):25-30. |
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| 作者姓名： | 张德飞 张万秀 何萍 |
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| 作者单位： | 1. 红河学院,云南,蒙自,661100
2. 玉溪师范学院,云南,玉溪,653100 |
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| 摘 要： | 利用矩估计的思想对连续时间GARCH(1,1)模型的参数进行了估计,并利用高频数据对该模型进行了实证分析,结果表明连续时间GARCH(1,1)模型比GARCH类模型能较好的刻画高频数据的许多统计特征.
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| 关 键 词： | 连续时间GARCH(1 1)模型 波动率过程 参数估计 |
The Estimation and Empirical Analysis of Parameters of Continuous Time GARCH(1,1) Model |
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| ZHANG De-fei,ZHANG Wan-xiu,HE Ping.The Estimation and Empirical Analysis of Parameters of Continuous Time GARCH(1,1) Model[J].Journal of Yuxi Teachers' College,2008,24(8):25-30. |
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| Authors: | ZHANG De-fei ZHANG Wan-xiu HE Ping |
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| Institution: | ZHANG De-fei1 ZHANG Wan-xiu2 HE Ping1(1.Honghe University,Mengzi,Yunnan,661100,2.Yuxi Teachers College,Yuxi,Yunnan 653100) |
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| Abstract: | In this paper,an estimation of parameters in continuous time GARCH(1,1) model by moment estimating method was carried out and a simulation study of the model was made with high-frequency data.The result shows that the continuous time GARCH(1,1) model can better describes the statistical characteristics of high frequency data than GARCH model. |
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| Keywords: | continuous time GARCH model stochastic volatility process estimation of parameters |
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