Ӧ�ø���ͳ�� 2009, 25(3) 275-280 DOI:      ISSN: 1001-4268 CN: 31-1256

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Strong Law of Large Numbers of Absolute Value Sequences from Varying-Coefficient ARCH Models
Zhang Zhiqiang,Feng Jingyan
Department of Mathematics, Shanxi Datong University
Abstract: In this paper we introduce a varying-coefficient ARCH model in which the model coefficient is a function of time variable $t$. It is consistent with the fact that the coefficients are different in different time intervals in modeling, so this kind
of model is more reasonable. We believe that the varying-coefficient ARCH model has several potential advantages for practical uses, it is more flexible. Here we discuss the strong law of large numbers of absolute value sequences from varying-coefficient ARCH models.
Keywords: Varying-coefficient   ARCH   strong law of large numbers.  
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