FIGARCH模型其在上证指数VaR计算中的实验分析.pdf

THESIS OF MASTER DEGREE FIGARCH VaR FIGARCH Model and Empirical Analysis on VaR of the Composite Index of Shanghai Stock Market GARCH Engle Bollerslev 1986 GARCH IGARCH IGARCH BaillieBollerslev Mikkelsen GARCH 1996 FIGARCH ARFIMA FIGARCH GARCH FIGARCH GARCH(p,q) 2 h ω+α(L)ε +β(L)h t t −1 t −1 ARMA [ ] 2 2 [ ] 1−α(L) −β(L) ε ≡φ(L)ε ω+ 1−β(L) w t t t 2 w ε −h t t t (1−L)d FIGARCH d 2 [ ] [ ] φ(L)(1−L) ε