M hnh ARCH

M hnh ARCH

M hnh ARCH

M hnh ARCH

Phng php thng thng

M hnh ARCH

Kim nh hiu ng ARCH

Kim nh hiu ng ARCH

Nhc im m hnh ARCH(q)

ARCH bc cao

gim bc t do

nh hng kt qu c lng

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Nhc im m hnh ARCH(q)

C shock m

C shock dng

GARCH

Bollerslev (1986)

t2 = 0 + 1ut21 +t-12

t2 = 0+1ut21 +2ut2 2 +...+qut2q +1t-12+2t-22+...+pt-p2

t2
= 0 i u
i 1 q 2 t i

j t j
j 1

 Phng sai khng c iu kin:

Var(ut) =
Trong :

0 1 (1 )

1 < 1
l I-GARCH l chui khng dng ti phng sai

1 = 1 1 1

i vi chui khng dng ti phng sai, d bo phng sai c iu kin s khng hi t v gi tr khng iu kin.

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GARCH

ARCH

C t h s cn c lng hnhn ch kh nng mt bc t do trong m hnh.

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GARCH(1,1) tng ng ARCH bc v cng.

c lng Xc nh bc.

Kim nh

D bo

EGARCH FI-GARCH FIE-GARCH CES-GARCH GARCH-M GJR-GARCH TGARCH

I-GARCH N-GARCH F-GARCH C-GARCH A-GARCH SQ-GARCH