【摘要】 引入随机环境对非线性时间序列GARCH模型干扰,将GARCH模型的常数参数拓广为参数是一马尔可夫链函数的MSGARCH模型.并讨论了该模型的极限行为,给出了该模型以几何速率收敛的充分条件.这种拓广能更好的拟合现实世界中的诸多实际问题.同时,推广了自回归条件异方差模型,增强了模型的适应性,能够更好的拟合金融市场中价格行为波动的现象.更多还原

【Abstract】 In this article, a new class of MSGARCH model with random parameters was proposed. Its limit behavior was discussed and the sufficient condition for its convergence was obtained. It could simulate many substantial problems in the real world better. In addition, this paper popularized the GARCH model, which made the model more adaptive and applicable to phenomena of price behavior fluctuation.更多还原