变系数ARCH模型绝对值序列的强大数定律

Strong Law of Large Numbers of Absolute Value Sequences from Varying-Coefficient ARCH Models

  • 摘要: 本文提出一种新的模型: 变系数ARCH模型, 其中系数是时间变量的函数. 这与在不同的时间区间上拟和模型时系数是不同的这一事实是相符的. 所以这一模型更符合实际, 更合理. 由于系数是时间变量的函数, 所以这一模型有许多潜在的优点, 它更具有灵活性. 在本文中我们主要研究变系数ARCH模型绝对值序列的强大数定律.

     

    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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