LAI Jiang-hong, YANG Hai-bo. GJR-GARCH Model and Its Limitation as Diffusion Processes[J]. Journal of nanchang hangkong university(Natural science edition), 2014, 28(4): 35-38. DOI: 10.3969/j.issn.1001-4926.2014.04.007
Citation: LAI Jiang-hong, YANG Hai-bo. GJR-GARCH Model and Its Limitation as Diffusion Processes[J]. Journal of nanchang hangkong university(Natural science edition), 2014, 28(4): 35-38. DOI: 10.3969/j.issn.1001-4926.2014.04.007
shu

GJR-GARCH Model and Its Limitation as Diffusion Processes

    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.
    • FullText(HTML)
  • loading
    • References (10)
    • Relative Articles
  • Supplements (0)

Catalog

    Turn off MathJax
    Article Contents

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return