Research on the Ability of MGARCH to Describe Financial Time SeriesChinese Full Text
ZHU Tao;LU Jian;JIANG Xiao-gan;School of Economic and Management,Southeast University;
Abstract: Financial assets yield has two distinct characters,that is,high kurtosis and fat tail and the autocorrelation of the squared series.In this paper,moment of MGARCH（k;1,1）is researched firstly.Then we analyzed the ability of MGARCH models to describe these two characters and compared MGARCH with GARCH models,theoretically proved that MGARCH（k;q,p）has stronger ability than GARCH.Finally we use the Shanghai Composite Index closing price data for the empirical analysis.
- DOI：
10.13860/j.cnki.sltj-20140815-001
- Series：
- Subject：
- Classification Code：
F224;O212
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