The Application and Modeling for Conditional Heteroscedasticity Time Series

Wenfang Su, Rui Shan, Jun Zhang and Yan Gao

Modern Applied Science, 2009, vol. 3, issue 6, 113

Abstract: This article mainly presents the fundamental theory, model and application of conditional heteroscedasticity residual sequence. And it also gives detailed, scientific and exact analysis and research on a financial security example. Then summarizing a conclusion- Financial Securities follows specific rules and tracks through above study. The research indicates that ARCH model only applies to a short-term, auto-correlative heteroscedastic function ,whereas the amended GARCH model has the opposite result, that is, GARCH fits a long-term, auto-correlative heteroscedastic function. Meanwhile, SAS program presents more intuitive, exact tables and figures. All analysis and results show that AR (m)-GARCH fits well.

Date: 2009
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