WU Shuosi, FANG Zhaoben. A New Model for Asymmetric General Autoregressive Conditional heteroscedasticity[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(4): 416-422.
Citation: WU Shuosi, FANG Zhaoben. A New Model for Asymmetric General Autoregressive Conditional heteroscedasticity[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(4): 416-422.
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A New Model for Asymmetric General Autoregressive Conditional heteroscedasticity

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  • This paper suggests a new model for asymmetric general autoregressive conditional heteroscedasticity, and proves tile sufficient and necessary conditions for the stationarity of tile model and the existence of even-order moments of the model.
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