吉林大学学报（理学版）2025，Vol.63Issue(4)：1039-1050,12.DOI:10.13413/j.cnki.jdxblxb.2024368
基于Poisson分布的Z值Taylor-Schwert GARCH模型
Z-Valued Taylor-Schwert GARCH Model Based on Poisson Distribution
摘要
Abstract
Aiming at the modeling problem of Z-valued time series data with volatility,we proposed a Z-valued Taylor-Schwert generalized autoregressive conditional heteroscedasticity model based on Poisson distribution.Firstly,some statistical properties of the model were derived.Secondly,the unknown parameters in the model were estimated by using the condition maximum likelihood estimation method,and the asymptotic properties of estimators were proved.Thirdly,numerical simulations were conducted to demonstrate the performance of the estimation method.Finally,a real daily stock return data was considered,and the superiority of the proposed model over existing models was proved through analysis of the fitting results of the data.关键词
Z值时间序列/GARCH模型/条件极大似然估计/异方差性Key words
Z-valued time series/GARCH model/condition maximum likelihood estimation/heteroscedasticity分类
数理科学引用本文复制引用
刘思博,杨凯,董小刚,徐悦..基于Poisson分布的Z值Taylor-Schwert GARCH模型[J].吉林大学学报（理学版）,2025,63(4):1039-1050,12.基金项目
国家自然科学基金面上项目(批准号:12471249)和吉林省自然科学基金面上项目(批准号:20220101038JC). （批准号:12471249）
