Regression modelMulti-scale volatility
分量GARCH模型
分量GARCH模型将条件方差分解为具有不同动态的暂时性（短期）和永久性（长期）分量，从而能够灵活地捕捉多频率下的波动率行为。该模型由Engle和Lee（1999）提出，优雅地模拟了波动率同时表现出快速均值回归（日度冲击）和缓慢均值回归（水平移动）的实证发现。该框架对于理解波动率持续性以及改进长期波动率预测至关重要。
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来源
- Engle, R. F., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. Journal of Political Economy, 107(6), 1363-1384. link ↗
- Ling, S., & McAleer, M. (2003). Asymptotic theory and inference for dynamic conditional distribution models. Journal of Econometrics, 106(1), 119-135. link ↗
如何引用本页
ScholarGate. (2026, June 3). Component-Based GARCH Model. ScholarGate. https://scholargate.app/zh/econometrics/component-garch
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