统计与决策2025，Vol.41Issue(9)：66-71,6.DOI:10.13546/j.cnki.tjyjc.2025.09.011
(1,1)-阶GARCH类模型的非负性、平稳性及记忆性研究
Study on Non-negativity,Stationarity and Memorability of(1,1)-Order GARCH-class Models
摘要
Abstract
This paper employs the Maclaurin series to expand the(1,1)-order GARCH-class models into ARCH(∞)process,then uses their impulse response functions and the Volterra series to examine the issues of non-negativity(model specification),covariance stationarity and memorability.The results are shown as follows:Both the IGARCH and EWMA models are short-term memory rather than permanent memory processes;the memory of FIGARCH model is still open.None of the three models can achieve stationarity.The stationary LMGARCH model is a long memory process,while the stationary HYGARCH model is an in-termediate memory process.There are non-negativity constraints on the specifications of all the above models.关键词
(1,1)-阶GARCH类模型/ARCH(∞)过程/脉冲响应函数/Volterra级数Key words
(1,1)-order GARCH-class models/ARCH(∞)process/impulse response function/Volterra series分类
管理科学引用本文复制引用
潘群星,杜修立,张兵..(1,1)-阶GARCH类模型的非负性、平稳性及记忆性研究[J].统计与决策,2025,41(9):66-71,6.基金项目
国家社会科学基金资助项目(20BJY250) （20BJY250）
