%0 Journal Article
%T Research on Spurious Co-persistence of Threshold Vector GARCH Model with Structural Change<br>多元变结构门限GARCH模型的伪协同持续性研究
%A LI Song-chen
%A ZHANG Shi-ying
%A <br>李松臣
%A 张世英
%J 系统工程理论与实践
%D 2007
%I 
%X Volatility persistence is an important property of finance time series.The relationship between GARCH model with structural change and IGARCH model is proved in theory,and the definition of spurious co-persistence of threshold vector GARCH model with structural change is given based on spurious persistence in volatility.Empirical results show that daily return series of Shanghai and Shenzhen have strong persistence in volatility and they are spurious co-persistent.
%K threshold vector GARCH model with structural change
%K IGARCH model
%K spurious persistence
%K spurious co-persistence<br>多元变结构门限GARCH模型
%K IGARCH模型
%K 伪持续性
%K 伪协同持续性
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=62E93FBC841397C0B2DB2D56408E45B2&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=F3090AE9B60B7ED1&sid=4F2F18DD6F870C2C&eid=228A710F49B6CE58&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=13