{"id":5702,"date":"2025-05-31T10:49:19","date_gmt":"2025-05-31T02:49:19","guid":{"rendered":"http:\/\/cnliutz.pgrm.cc\/?p=5702"},"modified":"2025-05-31T10:49:20","modified_gmt":"2025-05-31T02:49:20","slug":"%e8%82%a1%e7%a5%a8garch%e6%a8%a1%e5%9e%8b%e6%84%8f%e4%b9%89%e5%92%8c%e7%94%a8%e9%80%94","status":"publish","type":"post","link":"http:\/\/cnliutz.wicp.vip\/?p=5702","title":{"rendered":"\u80a1\u7968GARCH\u6a21\u578b\u610f\u4e49\u548c\u7528\u9014"},"content":{"rendered":"\n

GARCH\uff08\u5e7f\u4e49\u81ea\u56de\u5f52\u6761\u4ef6\u5f02\u65b9\u5dee\uff09\u6a21\u578b\u5bb6\u65cf\u4e2d\u6709\u8bb8\u591a\u9488\u5bf9\u80a1\u7968\u5e02\u573a\u7279\u70b9\u8bbe\u8ba1\u7684\u53d8\u4f53\u6a21\u578b\uff0c\u4ee5\u4e0b\u662f\u4e00\u4e9b\u5e38\u89c1\u7684\u80a1\u7968\u5e02\u573a GARCH \u7c7b\u6a21\u578b\u540d\u79f0\u53ca\u5176\u7279\u70b9\uff1a<\/p>\n\n\n\n

    \n
  1. GARCH (1,1) \u6a21\u578b
    \u7279\u70b9\uff1a\u6700\u57fa\u7840\u7684 GARCH \u6a21\u578b\uff0c\u4f7f\u7528 1 \u9636 ARCH \u9879\uff08\u6355\u6349\u8fc7\u53bb\u6536\u76ca\u7387\u7684\u6ce2\u52a8\uff09\u548c 1 \u9636 GARCH \u9879\uff08\u6355\u6349\u8fc7\u53bb\u6ce2\u52a8\u7387\u7684\u6ce2\u52a8\uff09\u3002
    \u9002\u7528\u573a\u666f\uff1a\u9002\u5408\u63cf\u8ff0\u80a1\u7968\u6536\u76ca\u7387\u7684\u6ce2\u52a8\u805a\u7c7b\u73b0\u8c61\uff08Volatility Clustering\uff09\u3002<\/li>\n\n\n\n
  2. EGARCH (\u6307\u6570 GARCH)
    \u7279\u70b9\uff1a\u5141\u8bb8\u6ce2\u52a8\u7387\u5bf9\u6b63\u8d1f\u6536\u76ca\u7387\u7684\u53cd\u5e94\u5b58\u5728\u4e0d\u5bf9\u79f0\u6027\uff08\u6760\u6746\u6548\u5e94\uff09\uff0c\u4f8b\u5982\u574f\u6d88\u606f\uff08\u8d1f\u6536\u76ca\uff09\u5f80\u5f80\u6bd4\u597d\u6d88\u606f\uff08\u6b63\u6536\u76ca\uff09\u5f15\u53d1\u66f4\u5927\u7684\u6ce2\u52a8\u3002
    \u6570\u5b66\u5f62\u5f0f\uff1a\u901a\u8fc7\u5bf9\u6570\u6ce2\u52a8\u7387\u65b9\u7a0b\u5b9e\u73b0\u975e\u5bf9\u79f0\u6027\u3002
    \u9002\u7528\u573a\u666f\uff1a\u80a1\u7968\u5e02\u573a\u4e2d\u5e38\u89c1\u7684 \u201c\u6760\u6746\u6548\u5e94\u201d \u5efa\u6a21\u3002<\/li>\n\n\n\n
  3. TGARCH (\u95e8\u9650 GARCH)
    \u7279\u70b9\uff1a\u5f15\u5165\u95e8\u9650\u53d8\u91cf\u533a\u5206\u6b63\u8d1f\u51b2\u51fb\u5bf9\u6ce2\u52a8\u7387\u7684\u4e0d\u540c\u5f71\u54cd\uff0c\u6bd4 EGARCH \u66f4\u76f4\u63a5\u5730\u6355\u6349\u975e\u5bf9\u79f0\u6027\u3002
    \u6570\u5b66\u5f62\u5f0f\uff1a\u5728\u6ce2\u52a8\u7387\u65b9\u7a0b\u4e2d\u52a0\u5165\u6307\u793a\u51fd\u6570\uff08Indicator Function\uff09\u3002
    \u9002\u7528\u573a\u666f\uff1a\u5206\u6790\u80a1\u7968\u5e02\u573a\u5bf9\u5229\u597d\u548c\u5229\u7a7a\u6d88\u606f\u7684\u975e\u5bf9\u79f0\u53cd\u5e94\u3002<\/li>\n\n\n\n
  4. IGARCH (\u96c6\u6210 GARCH)
    \u7279\u70b9\uff1a\u03b1+\u03b2=1\uff0c\u5373\u6ce2\u52a8\u7387\u5177\u6709\u957f\u671f\u8bb0\u5fc6\u6027\uff0c\u8fc7\u53bb\u7684\u6ce2\u52a8\u51b2\u51fb\u6c38\u8fdc\u4e0d\u4f1a\u6d88\u5931\u3002
    \u9002\u7528\u573a\u666f\uff1a\u67d0\u4e9b\u91d1\u878d\u65f6\u95f4\u5e8f\u5217\uff08\u5982\u6c47\u7387\u6216\u9ad8\u6ce2\u52a8\u80a1\u7968\uff09\u7684\u957f\u671f\u6ce2\u52a8\u5efa\u6a21\u3002<\/li>\n\n\n\n
  5. GJR-GARCH
    \u7279\u70b9\uff1a\u5728 GARCH \u57fa\u7840\u4e0a\u589e\u52a0\u4e00\u4e2a\u989d\u5916\u9879\u6765\u6355\u6349\u8d1f\u6536\u76ca\u7387\u7684\u6760\u6746\u6548\u5e94\uff0c\u662f TGARCH \u7684\u4e00\u79cd\u53d8\u4f53\u3002
    \u9002\u7528\u573a\u666f\uff1a\u80a1\u7968\u5e02\u573a\u6ce2\u52a8\u7387\u7684\u975e\u5bf9\u79f0\u5efa\u6a21\u3002<\/li>\n\n\n\n
  6. APARCH (\u975e\u5bf9\u79f0\u5e42 ARCH)
    \u7279\u70b9\uff1a\u6700\u4e00\u822c\u5316\u7684 GARCH \u7c7b\u6a21\u578b\u4e4b\u4e00\uff0c\u5141\u8bb8\u6ce2\u52a8\u7387\u5bf9\u51b2\u51fb\u7684\u53cd\u5e94\u5b58\u5728\u975e\u5bf9\u79f0\u6027\u548c\u975e\u7ebf\u6027\u6027\u3002
    \u9002\u7528\u573a\u666f\uff1a\u7075\u6d3b\u6355\u6349\u80a1\u7968\u5e02\u573a\u5404\u79cd\u590d\u6742\u7684\u6ce2\u52a8\u7279\u5f81\u3002<\/li>\n\n\n\n
  7. NGARCH (\u975e\u7ebf\u6027 GARCH)
    \u7279\u70b9\uff1a\u6ce2\u52a8\u7387\u65b9\u7a0b\u91c7\u7528\u975e\u7ebf\u6027\u51fd\u6570\u5f62\u5f0f\uff0c\u80fd\u6355\u6349\u66f4\u590d\u6742\u7684\u6ce2\u52a8\u52a8\u6001\u3002
    \u9002\u7528\u573a\u666f\uff1a\u9ad8\u6ce2\u52a8\u6216\u7ed3\u6784\u53d8\u5316\u8f83\u5927\u7684\u80a1\u7968\u5e02\u573a\u3002<\/li>\n\n\n\n
  8. FIGARCH (\u5206\u6570\u79ef\u5206 GARCH)
    \u7279\u70b9\uff1a\u5141\u8bb8\u6ce2\u52a8\u7387\u5177\u6709\u5206\u6570\u9636\u7684\u8bb0\u5fc6\u6027\uff0c\u4ecb\u4e8e\u77ed\u671f\u8bb0\u5fc6\uff08\u6807\u51c6 GARCH\uff09\u548c\u957f\u671f\u8bb0\u5fc6\uff08IGARCH\uff09\u4e4b\u95f4\u3002
    \u9002\u7528\u573a\u666f\uff1a\u80a1\u7968\u5e02\u573a\u4e2d\u957f\u671f\u6ce2\u52a8\u7684\u6301\u7eed\u6027\u5206\u6790\u3002<\/li>\n\n\n\n
  9. GARCH-M (GARCH-in-Mean)
    \u7279\u70b9\uff1a\u5c06\u6ce2\u52a8\u7387\u4f5c\u4e3a\u89e3\u91ca\u53d8\u91cf\u52a0\u5165\u5747\u503c\u65b9\u7a0b\uff0c\u7528\u4e8e\u68c0\u9a8c\u98ce\u9669\u4e0e\u6536\u76ca\u7684\u5173\u7cfb\uff08\u4f8b\u5982\u98ce\u9669\u6ea2\u4ef7\u662f\u5426\u5b58\u5728\uff09\u3002
    \u9002\u7528\u573a\u666f\uff1a\u80a1\u7968\u6536\u76ca\u7387\u7684\u5747\u503c\u548c\u6ce2\u52a8\u7387\u8054\u5408\u5efa\u6a21\u3002<\/li>\n\n\n\n
  10. \u591a\u5143 GARCH \u6a21\u578b
    \u4f8b\u5b50\uff1aBEKK-GARCH\u3001DCC-GARCH\u3001CCC-GARCH
    \u7279\u70b9\uff1a\u540c\u65f6\u5bf9\u591a\u4e2a\u80a1\u7968\u6216\u8d44\u4ea7\u7684\u6ce2\u52a8\u7387\u53ca\u76f8\u5173\u6027\u8fdb\u884c\u5efa\u6a21\u3002
    \u9002\u7528\u573a\u666f\uff1a\u6295\u8d44\u7ec4\u5408\u5206\u6790\u3001\u5bf9\u51b2\u7b56\u7565\u6216\u5e02\u573a\u95f4\u6ce2\u52a8\u4f20\u5bfc\u7814\u7a76\u3002
    \u5b9e\u9645\u5e94\u7528\u5efa\u8bae
    \u57fa\u7840\u9009\u62e9\uff1a\u5982\u679c\u53ea\u9700\u6355\u6349\u6ce2\u52a8\u805a\u7c7b\uff0cGARCH(1,1) \u901a\u5e38\u662f\u8d77\u70b9\u3002
    \u975e\u5bf9\u79f0\u6548\u5e94\uff1a\u82e5\u5173\u6ce8\u6760\u6746\u6548\u5e94\uff0c\u4f18\u5148\u8003\u8651 EGARCH \u6216 GJR-GARCH\u3002
    \u591a\u8d44\u4ea7\u5206\u6790\uff1a\u4f7f\u7528 DCC-GARCH \u7b49\u591a\u5143\u6a21\u578b\u5206\u6790\u80a1\u7968\u95f4\u7684\u76f8\u5173\u6027\u52a8\u6001\u3002
    \u5728\u4f60\u7684\u6848\u4f8b\u4e2d\uff0c\u539f\u59cb\u8f93\u51fa\u4f7f\u7528\u7684\u662f\u6807\u51c6 GARCH(1,1) \u6a21\u578b\uff0c\u4f46\u6839\u636e\u80a1\u7968\u6570\u636e\u7684\u7279\u6027\uff08\u5982\u975e\u5bf9\u79f0\u6027\u3001\u957f\u8bb0\u5fc6\u6027\uff09\uff0c\u53ef\u80fd\u9700\u8981\u9009\u62e9\u66f4\u5408\u9002\u7684\u53d8\u4f53\u3002<\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"

    GARCH\uff08\u5e7f\u4e49\u81ea\u56de\u5f52\u6761\u4ef6\u5f02\u65b9\u5dee\uff09\u6a21\u578b\u5bb6\u65cf\u4e2d\u6709\u8bb8\u591a\u9488\u5bf9\u80a1\u7968\u5e02\u573a\u7279\u70b9\u8bbe\u8ba1\u7684\u53d8\u4f53\u6a21\u578b Continue Reading<\/a><\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[24],"tags":[],"class_list":["post-5702","post","type-post","status-publish","format-standard","hentry","category-24"],"_links":{"self":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5702","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=5702"}],"version-history":[{"count":1,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5702\/revisions"}],"predecessor-version":[{"id":5703,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5702\/revisions\/5703"}],"wp:attachment":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5702"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5702"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5702"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}