【摘要】 针对传统EGARCH模型难以捕捉长记忆性的问题，通过引入分数Brown运动提出一个fBm-EGARCH模型，给出模型的二阶矩、四阶矩及协方差函数性质，并理论证明其长期记忆性.数值模拟结果表明，该模型不仅能准确捕捉短期波动，还能反映长期记忆性，从而验证了模型的有效性.更多还原

【Abstract】 Aiming at the problem that the traditional EGARCH model was difficult to capture long-term memory, we proposed an fBm-EGARCH model by introducing fractional Brownian motion. We gave the second-order moment, the fourth-order moment and covariance function properties of the model, and theoretically proved its long-term memory. Numerical simulation results show that the model can not only accurately capture short-term fluctuations, but also reflect long-term memory, which verifies the effectiveness of the model.更多还原