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1、 ? ? ? ? ? ICSS ? ? ? 300 ? ? ? 300 ? ? ? ? ? . 4 ? . 5 ? 300 ? . 7 ? . 8 ? . 10 ? ? 1? 300 ? 1?2005/01/042013/12/31? . 4 ? 2?N(0,1)? ? ?N(0,1) “+” N(0,0.5)? ? ? 300 ? . 5 ? 3? . 6 ? 4? 300 ? . 8 ? 1? 300 ?2005/01/042013/12/31? . 7 ? 2?GARCH(1,1)? 300 ?2005/01/012013/12/31? . 8 ? 3? GARCH(1,1) ? . 9
2、 ? 4? GARCH(1,1)? LM ? . 9 ? 5? GARCH(2,1) ? . 10 ? 6? GARCH(2,1)? LM ? . 10 ? ? ? ? ? ? ? ? ?300? ?1?300?1?2005/01/042013/12/31? ? ? ?1?300? (a) ? (b) ? ? ?GARCH? 2005-01-042006-01-042007-01-042008-01-022009-01-052010-01-042011-01-042012-01-042013-01-042013-12-3101234562005-01-042006-01-042007-01-0
3、42008-01-022009-01-052010-01-042011-01-042012-01-042013-01-042013-12-31-0.1-0.0500.050.1? ?,? = 1,? ?= ?1 ?= ?=? ? ? ? ?1?0.5?300? ?2?N(0,1)?N(0,1) “+” N(0,0.5)?300? ?= ?= 0?0? ?1?0?0.02?300?500100015002000-4-2024500100015002000-4-2024500100015002000-0.1-0.0500.050.150010001500200000.515001000150020
4、0000.5150010001500200000.51500100015002000-0.04-0.0200.02500100015002000-0.100.10.20.3500100015002000-0.100.10.20.3?0.2 ?10? ?(0,?),?(?) ? 0, 0, 0,+ 0, 0, 0,+ 1? ?300?2005/01/04 2013/12/31?ICSS?5?1? ? 3? GARCH(1,1) ? ? ARCH GARCH d1 d2 d3 d4 d5 Likelihood 1.53E-05 0.030 0.886 3.09E-05 4.64E-05 -5.65
5、E-05 -1.43E-05 -6.90E-06 5831.04 ?4? GARCH(1,1)?LM? Lag 1 2 3 4 5 Val 0.58 5.59 6.31 7.70 9.65 PValue 0.45 0.06 0.10 0.10 0.09 ?P?Q = 2?GARCH?1? ?GARCH(2,2)? ?2?GARCH?GARCH(2,1)?GARCH(1,1)? ?= ? + ? ?,?+ + ?O ?O,?+ ?:?5?+ ?:?5?+ A?5? ?5?6? ? 5? GARCH(2,1) ? ? ARCH(1) ARCH(2) GARCH d1 d2 d3 d4 d5 Likelihood 1.95E-05 0.000 0.040 0.851 4.10E-05 6.11E-05 -7.52E-05 -1.81E-05 -9.15E-06 5834.16 ?6?GARCH(2,1)?LM? Lag 1 2 3 4 5 Val 0.69 2.26 3.15 4.68 6.20 PValue 0.41 0.32 0.37 0.32 0.29 ?6?GARCH(2,1)?300? ?5?300?2006?12?2008?1?2008?11?2009?10?2011?2? ?R ?+ ASU S?= 0.891?0.992?GARCH?300? ?
