文档介绍：? (ARCH)modelinEngle(1982)’spaper,extensions,(GARCH)modelsbyBollerslev(1986),,(1986)andexponentialGARCHmodelsuggestedbyNelson(1990b).AdetailedsurveycanbefoundinBollerslev,ChouandKroner(1992)andBollerslev,EngleandNelson(1994).羃蚁VariousparametersarefittedtothedailyDLn_Priceseries().Amongallmodelsfittedwithstatisticallysignificantparameters,theautocorrelationofresidualsallhavep-valuesofQ(12),Q(24)andQ(36)lessthan5%().,thefinalmodelselectedisGARCH(1,1),basedontheAIC,=σtϵtσt2=-12+-