GJR-GARCH1,1-M 2. 799
1 800
801
9 802
Υt = β + β1υt 1 + ε t 12 84 GARCH GJR-GARCH 803
p 1 2 2 Q( P) = n( n + 2) ρ s ~ Χ ( P) s= 1 n s rt = xtc + φ ht + ε t 804
( 0, ) ε ~ N h t Ψt 1 t 2 ht = α0 + α1ε t 1 + β1ht 1 r t x h rt = a 0 + εt 2 2 ht = w + βht 1 + αεt 1 + γ St 1 εt 1 st 1 st 1 805
2 hs t ws,0 + βshs, t 1 + α sε s, t 1 + 2 2 r s, t = as,0 + bs, irs, t i + cs, ire, t i + θ s hs, t + ε s, t i= 1 i= 1 2, = γ s Ss, t 1 ε s, t 1 2 2 r e, t = ae,0 + be, ire, t i + ce, irs, t i + θ e he, t + ε e, t i= 1 i= 1 2 h w + β h + α ε + 2 e, t = e,0 e e, t 1 e e, t 1 γ e Se, t 1 ε e, t 1 s s t 1 t 1 806
w rs = log( pt / pt 1 ) 100 r s t Pt t P t-1 t-1 re = log( Et / Et 1 ) 100 r e t Et t E t-1 t-1 807
36 35 34 33 32 31 30 4 8 100 200 300 400 500 600 700 800 E 0-4 -8 11000-12 100 200 300 400 500 600 700 800 RS 10000 9000 8000 7000 6000 5000 4000 3000 100 200 300 400 500 600 700 800 3 2 1 0 S -1-2 100 200 300 400 500 600 700 800 RE 808
809
b s,2 b s,1 b s,1 b s,2 b s,2 b s,1 810
c s,1 c s,2 14 GARCH ARCH AR(1) ARCH AR(1) 16 2001 12 143375 4949 173210 134.9990 2002 12 71403 5173 179777.3 134.7530-811
812
8 4 0-4 -8-12 100 200 300 400 500 600 700 800 RESID01RS 2 3 1 0-1 -2 100 200 300 400 500 600 700 800 RESID01RE 813
814
815
816