Garch工艺的比较结果
Comparison results for Garch processes
摘要：
考虑了一般Garch过程的随机比较问题，对于不同的参数和不同的新息分布。我们确定了几个随机订单，传播的创新GARCH过程本身，并讨论他们的解释。我们专注于凸顺序，并表明，在对称创新的情况下，它也传播到Garch过程的累积和。更一般地，我们讨论多元比较结果相关的多元凸和超模秩序。最后我们讨论了Garch（1，1）情形下关于参数的排序。关键词：Garch，凸序，峰度，峰度，超模块性。
英文摘要：
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the Garch process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular order. Finally we discuss ordering with respect to the parameters in the Garch (1,1) case. Key words: Garch, Convex Order, Peakedness, Kurtosis, Supermodularity.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
