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Ӧ�ø���ͳ�� 2009, 25(3) 275-280 DOI:
ISSN: 1001-4268 CN: 31-1256 |
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�������һ���µ�ģ��: ��ϵ��ARCHģ��, ����ϵ����ʱ������ĺ���. �����ڲ�ͬ��ʱ�����������ģ��ʱϵ���Dz�ͬ����һ��ʵ�������. ������һģ������ʵ��, ������. ����ϵ����ʱ������ĺ���, ������һģ�������DZ�ڵ��ŵ�, �������������. �ڱ�����������Ҫ�о���ϵ��ARCHģ�;���ֵ���е�ǿ��������. |
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�ؼ�����
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ARCH
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Strong Law of Large Numbers of Absolute Value Sequences from Varying-Coefficient ARCH Models |
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Zhang Zhiqiang,Feng Jingyan |
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Department of Mathematics, Shanxi Datong University |
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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. |
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Keywords:
Varying-coefficient
ARCH
strong law of large numbers.
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�ո����� 1900-01-01 ������ 1900-01-01 ����淢������ |
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DOI: |
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| 10����Ϊ��, ����Ȩ, ������.��λ����ϵ��ģ�ͻ��ں˹⻬�ı���ѡ��[J]. Ӧ�ø���ͳ��, 2014,30(5): 537-560 |
| 11�������, ����÷.��ϵ��ģ�͵ľֲ���Ȩ��Ϸ�λ������[J]. Ӧ�ø���ͳ��, 2014,30(6): 631-650 |
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