J4

• 数学 •     Next Articles

Estimation of noise's density function in multivariate ARCH(q) model

HUANG Xiao-wei, WANG De-hui, SONG Li-xin   

  1. College of Mathematics, Jilin University, Changchun 130012, China
  • Received:2003-04-29 Revised:1900-01-01 Online:2004-04-26 Published:2004-04-26
  • Contact: SONG Li-xin

Abstract: The present paper is proposed a method to estimate the density function of the noise in the vector ARCH(q) model by means of kernel estimation. The consistency of the estimator and the simulation results are presented. Furthermore, as the application of thismethod, we have analyzed the data of Shenzhen and Shanghai stockmarket.

Key words: vector ARCH(q) model, quasi-maximum likelihood estimation, kernel estimation

CLC Number: 

  • O211.4