Regression modelEconometrics / time series

结构性断点 ARCH 模型

结构性断点 ARCH 模型在恩格尔 (Engle, 1982) 的自回归条件异方差 (ARCH) 框架基础上进行了扩展，明确考虑了条件方差过程中突然的、永久性的变化。忽略方差中的结构性断点会导致 ARCH 参数出现虚假的持续性，因此纳入断点虚拟变量或制度特定参数可以得到更准确的波动率估计和更好的模型拟合。

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结构性断点 ARCH 模型

自回归条件异方差 (ARCH) 模型 EGARCH model GARCH 模型（波动率预测）TGARCH 模型（阈值 GARCH）Zivot-Andrews 结构性断点检验傅里叶自回归条件异方差模型 (Fourier A…

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 ↗
Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business and Economic Statistics, 8(2), 225–234. DOI: 10.1080/07350015.1990.10509794 ↗

如何引用本页

ScholarGate. (2026, June 3). Autoregressive Conditional Heteroscedasticity Model with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-arch-model

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被引用于

傅里叶自回归条件异方差模型 (Fourier ARCH Model)

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