EG ARCH Model Driven by Fractional Brownian Motion
Aiming at the problem that the traditional EGARCH model was difficult to capture long-term memory,we proposed an fBm-EGARCH model by introducing fractional Brownian motion.We gave the second-order moment,the fourth-order moment and covariance function properties of the model,and theoretically proved its long-term memory.Numerical simulation results show that the model can not only accurately capture short-term fluctuations,but also reflect long-term memory,which verifies the effectiveness of the model.
万方数据
维普
