【摘要】 提出了随机环境下的幂变换门限自回归条件异方差模型,得出了其以几何速率收敛的充分条件.该模型反映了动力系统受随机环境干扰的现象,能更好的拟合现实世界中的诸多实际问题.另一方面,本文推广了自回归条件异方差模型,改善了模型的适应性程度,能够更好地适用于各种不同的金融市场价格行为波动的现象.更多还原

【Abstract】 In this article,a new class of power-transformed threshold ARCH model under the randomenvironment is proposed and the sufficient condition for its convergence is obtained.This model in randomenvironment reflects the phenomenon that dynamic system is interfered by random environment,so it canbetter imitate many substantial problems in the real world.On the other hand,this paper popularizes theARCH model,this make the model be more adaptive,so it can better applicable to phenomena of pricebehavior fluctuation in financial market.更多还原