GJR-GARCH模型的弱收敛极限过程
GJR-GARCH Model and Its Limitation as Diffusion Processes
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摘要: 基于Nelson有关弱收敛的理论结果,将GJR-GARCH模型弱收敛于一个随机微分方程决定的扩散过程。结果表明:该方法验证了应用数学知识分析经济和金融中出现的经济现象的可行性,为进一步解决经济问题提供了理论依据。Abstract: Based on the weak convergence results of Nelson, the GJR-GARCH model weakly converge to a stochastic differential equation system. The result shows that the method is verified feasibility in applying mathematics knowledge to analyze the phenomena of economics and finance. It provides the theoretical basis for the further solution of some economic problems.