Jump-EGARCH模型基础上检&e

Jump-EGARCH模型基础上检&e

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第 1 第第第第第第第第第第第 Jump-EGARCH 第第第第第第第第第第第 第 第第 1 一一一一一一 自自自自自自自自自自自ARCH 自自自自自自自(1982)自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 ARCH 自自自自自自自自自自自自自自自自自自自自自自自自自 自自自自自自自自自自(1991)自自自自自自自自自自自自自自自EGARCH 自自自自自 ARCH 自自自自自自 自自 EGARCH 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 EGARCH 自自自自自自自自自自自自自自自自自自自“自自自自”自“自自自自”自自自自 自自自自自自自自自自自自自自自自1989自自自自自2000自自自自自2003自自自自自自自2004自自自自 ARCH 自自自自自自自自自自自自自自自 Jump-ARCH 自自自 ARCH 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自Jump-ARCH 自自自自自自自自自自自自自自自自自自“自自”自自自自自自自自自自自自自自自自“自自”自自 自自自自自自自自自自自自自自自自自自自自“自自”自自自 自自 Jump-ARCH 自自自自自自自自自自自自自自自自自自自自自自自自自自自自 Jump-ARCH 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 自自(1989), 自(2002)自自自自(2003)自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自(2001)自 自自自(2003)自自自自自自自自自自自自自自自自 自自自自自自自自自自(nuisance parameter)自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 2 χ 自自自 自自自自自自自自自·自自自自Dirac’s delta自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 一一一一一一一一一一一一一一 自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自自 EGARCH 自自自自 Jump-EGARCH 自自自自自 t t t t z e h x + = 自自自自 自自自 (1) 1 t J t ts s z y = = , ( 29 2 , , ~ σ μ N y s t 1 1 2 1 1 - - - + + + = t t t t x x βθ α α ϖ θ , ( 29 t t h θ exp = ( 29 1 , 0 . . ~ D I N e t , ( 29 λ Pisson J t ~ , 0 , 1 2 1 < + + λ β α α .
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