具有EGARCH誤差項和NGARCH誤差項時序的單位根檢驗

信息計算科學論文編號:XXLW092 論文字數:8383,頁數:22

目  錄
中文摘要 Ⅰ
英文摘要 Ⅱ
目  錄 Ⅲ
第一章  緒論 1
1.1研究動機與目的 1
1.2 研究背景 1
1.3 研究方法 2
1.4 論文內容概述 2
第二章 EGARCH和NGARCH模型 3
2.1 ARCH模型簡介 3
2.2泛函中心極限定理 4
2.3 單位根檢驗 7
 2.3.1 關于單位根檢驗 7
 2.3.2 EGARCH條件下的單位根檢驗 7
 2.3.3 NGARCH條件下的單位根檢驗 8
第三章 代入數據得出各自條件下的統計量的臨界值表 10
3.1 EGARCH條件下的統計量的臨界值表 10
3.2 NGARCH條件下的統計量的臨界值表 13
第四章 結論 17
致  謝 18
參考文獻 19

摘     要
 ARCH模型是一種動態非線性的時間序列模型，它反映了經濟變量之間的特殊的不確定形式：方差隨時間變化而變化。作為一種全新的理論，ARCH模型在近年來取得了極為迅速的發展，已被廣泛應用于經濟金融領域。具有GARCH類的單位根過程對常規ADF檢驗臨界值的影響程度如何，是進行ADF檢驗時需要認真分析的問題，因而備受關注。由于GARCH族模型中，較多的金融數據中存在波動的杠桿效應和滯后系數對波動的影響，同時GARCH和ARCH還不足以描述很多時間序列，EGARCH和NGARCH模型能較好地描述金融時間序列，因而EGARCH-error和NGARCH-error的單位根檢驗值得關注。
 本文用eviews軟件通過Monte Carlo隨機模擬在有限樣本條件下通過加權最小二乘法討論了在EGARCH和NGARCH條件下的單位根檢驗，探索性地分析研究誤差項為正態分布時檢驗統計量的臨界值及其實際扭曲水平和勢，并且給出滯后階數對其檢驗統計量的影響。在有限樣本的情況下，通過隨機模擬，考察了擾動項的條件方差時變時的單位根檢驗，用加權最小二乘法考察ADF檢驗的統計量和統計量在不同情況下哪個更有效。
關鍵詞：    ARCH  單位根檢驗  檢驗統計量 

Abstract
 ARCH model is a kind of dynamic non-linear time series model. It reflects a special feature of economic variables time-varying variances. As a new theory, ARCH model has caused extensive interests of economists and has been developed very fast since it came into being. The class has GARCH unit root test of conventional ADF degree of influence how critical is to analyze seriously ADF test, and attention.. Because GARCH model, more financial data exist in the fluctuation of leverage and lag coefficient of the ARCH and GARCH, at the same time, to describe a lot of time sequence, NGARCH and EGARCH model can describe the financial time series, and NGARCH and EGARCH as freely though they and the unit root test - as freely though they concern.
  In this text，using the Monte Carlo eviews software through random simulation in limited samples through weighted least-square method are discussed in NGARCH and EGARCH under the condition of unit root test, exploratory analysis for normal distribution error when the critical test statistics and actual and potential, and the level of distortion are lagging order number on the test statistics. In the cases of limited samples, through random simulation, the disturbance of conditional variances of time-varying unit root test.
Keywords： ARCH; Unit root test; Test statistics