Volume 1,Issue 7
Fall 2025
基于日内GARCH模型LAD估计的混成检验
基于GARCH模型的LAD估计和混成检验理论，本文将LAD估计引入日内高频数据GARCH模型，得到了对应的混成检验统计量以及估计的渐近正态性。数值模拟和实证研究的结果显示，相比低频数据模型，基于高频数据模型的估计效果更好，对应的波动率代表模型能够更好的捕捉波动率信息，参数估计的精确度也更高。
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