Regression modelEconometrics / time series
稳健GARCH模型
稳健GARCH模型扩展了经典的GARCH框架，以处理金融收益序列中常见的异常值和厚尾创新。通过对极端观测值进行降权处理，它在数据包含跳跃、危机或其他异常情况时，能够产生更可靠的波动率预测，否则这些异常情况会扭曲标准GARCH估计。
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来源
- Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257. DOI: 10.1016/j.ijforecast.2012.06.003 ↗
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI: 10.1016/0304-4076(86)90063-1 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-garch-model
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