Regression modelVolatility models
Asymmetric Power ARCH (APARCH) (非对称幂自回归条件异方差模型): 金融收益率的灵活波动率建模
APARCH 模型由 Ding, Granger 和 Engle (1993) 在研究股票市场收益率的长记忆特性时提出，它通过允许条件波动率的幂变换和对正负冲击的非对称响应，扩展了 GARCH 模型族。该模型将至少七种著名的 ARCH 型规格作为特例包含在内，使其成为金融计量经济学中波动率建模的一个统一框架。
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来源
- Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83–106. DOI: 10.1016/0927-5398(93)90006-D ↗
如何引用本页
ScholarGate. (2026, June 2). Asymmetric Power ARCH (APARCH). ScholarGate. https://scholargate.app/zh/econometrics/aparch
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