| 基于ARFIMA-GARCH模型的混成检验 |
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| 引用本文： | 玄海燕,史永侠,张玉春,徐广业.基于ARFIMA-GARCH模型的混成检验[J].数学杂志,2017,37(3):474-480. |
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| 作者姓名： | 玄海燕 史永侠 张玉春 徐广业 |
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| 作者单位： | 兰州理工大学经济管理学院, 甘肃 兰州 730050,兰州理工大学理学院, 甘肃 兰州 730050,兰州理工大学经济管理学院, 甘肃 兰州 730050,兰州理工大学经济管理学院, 甘肃 兰州 730050 |
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| 基金项目： | 国家自然科学基金资助（11261031）. |
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| 摘 要： | 本文研究了ARFIMA-GARCH模型的混成检验问题.基于拟极大指数似然估计,给出了平方残差自相关函数的渐近性,进而建立了基于平方残差自相关函数的混成检验统计量.通过实例分析,表明可利用基于平方残差自相关函数的混成检验统计量来诊断检验由拟极大指数似然估计方法拟合的ARFIMA-GARCH模型.
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| 关 键 词： | ARFIMA-GARCH模型 混成检验 拟极大指数似然估计 |
| 收稿时间： | 2015/12/24 0:00:00 |
| 修稿时间： | 2016/5/16 0:00:00 |
PORTMANTEAU TEST BASED ON THE ARFIMA-GARCH MODEL |
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| XUAN Hai-yan,SHI Yong-xi,ZHANG Yu-chun and XU Guang-ye.PORTMANTEAU TEST BASED ON THE ARFIMA-GARCH MODEL[J].Journal of Mathematics,2017,37(3):474-480. |
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| Authors: | XUAN Hai-yan SHI Yong-xi ZHANG Yu-chun and XU Guang-ye |
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| Affiliation: | School of Economics and Management, Lanzhou University of Technology, Lanzhou 730050, China,School of Sciences, Lanzhou University of Technology, Lanzhou 730050, China,School of Economics and Management, Lanzhou University of Technology, Lanzhou 730050, China and School of Economics and Management, Lanzhou University of Technology, Lanzhou 730050, China |
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| Abstract: | In this paper, we study the portmanteau test problem of ARFIMA-GARCH model. Based on the quasi-maximum exponential likelihood estimator, the asymptotic of squared residual autocorrelation function is given, and the portmanteau test statistic based on squared residual autocorrelation function is established. By the analysis of a real example, it is showed that we can use the portmanteau test statistic based on squared residual autocorrelation function to the diagnostic test of ARFIMA-GARCH model fitting by quasi-maximum exponential likelihood estimator. |
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| Keywords: | ARFIMA-GARCH model portmanteau test quasi-maximum exponential likelihood estimation |
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