基本统计分析发现,上证综合指数回报率分布存在高峰厚尾性,不服从正态分布,并且还具有杠杆效应.本文应用非对称APARCH模型在四种分......

Two typical ARCH models: the ASDARCH model and the APARCH model are analyzed. Let Yk and σ2k denote the log returns......