Regression modelEconometrics / time series

稳健ARCH模型

稳健ARCH模型将经典的自回归条件异方差（Autoregressive Conditional Heteroscedasticity, ARCH）框架进行扩展，用稳健估计量替代标准的极大似然估计量，这些稳健估计量会降低或消除异常值的影响。这使得波动率估计对频繁污染金融和宏观经济时间序列的极端观测值具有抵抗力。

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稳健ARCH模型

自回归条件异方差 (ARCH) 模型 EGARCH model GARCH 模型（波动率预测）分位数回归稳健回归随机波动率模型 (Heston)稳健TGARCH

来源

Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI: 10.2307/1912773 ↗
Iqbal, F. (2013). Robust estimation for the ARCH models. Revista Colombiana de Estadística, 36(1), 41–56. link ↗

如何引用本页

ScholarGate. (2026, June 3). Robust Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-arch-model

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稳健TGARCH

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