使用非参数估计方法给出条件密度和条件均值的估计，在此基础上给出参数的广义矩估计。
The conditional density and the conditional mean are estimated by nonparametric method. Then the estimator of the parameter is proposed by the generalized method of moments.
而GARCH模型参数估计的主要方法BHHH算法和广义矩方法在实际运算中常遇到中间数据震荡从而导致算法整体失效等。
But the methods of estimation of parameter of the GARCH models, BHHH and GMM, may become invalid because they usually meet the situation that the middle data fluctuate greatly.
本文重点讨论了广义矩估计法、马尔可夫链蒙特卡罗方法和有效矩估计法这三种各具特点的随机波动模型的参数估计方法。
In this article, three estimation methods, GMM, MCMC and EMM are studied. GMM is one of the earliest methods used in SV model and its character is simple;
应用推荐