通过ARCHLM检验认为BD I对数序列存在高阶ARCH效应,并用GARCH(1,1)模型消除残差序列的条件异方差性。
High-level ARCH effect is certification in the BDI logarithm process by ARCH LM test, GARCH(1,1)model is used to eliminate the conditional heteroscedasticity.
通过ARCHLM检验认为BD I对数序列存在高阶ARCH效应,并用GARCH(1,1)模型消除残差序列的条件异方差性。
High-level ARCH effect is certification in the BDI logarithm process by ARCH LM test, GARCH(1,1)model is used to eliminate the conditional heteroscedasticity.
应用推荐