Secondly , the rate of return in china ' s stock has auto regressive heteroskedasticity phenomena and it should be considered in the calculation of var 其次，中国证券市场指数收益率存在条件异方差现象，在计算var的过程中应予以考虑。
Thus , it is of great significance to study the hypothesis testing of heteroscedasticity and statistical inference for the regression models with heteroscedasticity 因此，研究异方差的检验方法及存在异方差时的处理方法具有重要意义。
Although these models can eliminate the heteroscedasticity , it is still necessary to make a further study to decide which model is much better and more effective 这些模型虽然都能消除异方差，但需要进一步研究哪种模型比较适合，哪个模型更有效。
However in most economic phenomena , this kind of hypothesis is not necessary true . sometimes the disturbances vary with the observations . this is called heteroscedasticity 但在大多数经济现象中，这种假设不一定成立，有时扰动项u _ i的方差随观察值的不同而变化，这就是异方差性。
The concept of arch , which stands for autoregressive heteroscedasticity , was first introduced by engle ( 1982 ) to handle time series with a changing conditional variance 具有自回归条件异方差( arch )的时间序列模型，首先是由engle ( 1982 )提出，这类模型在金融和经济领域有着广泛的应用。
We also design an experiment aiming to probe for the most suitable horizon in timing study . among the three horizons , double - week horizon is regarded as the most suitable one 在回归中，我中文摘要们分别采用newey一west方法和d一w统计量解决和判断模型可能存在的异方差和自相关问题。
This paper shows the linear model of time sequence and the arch model and finds that the garch model could describe the fluctuation of price in some degrees 文章给出了股票时间序列的线性模型和股票价格的自回归条件异方差模型( arch ) ，发现garch族模型在一定程度上能够描述股价的波动情况。
Thus , it makes the hypothesis testing unreliable . so , if heteroscedasticity is found exist through hypothesis testing , it should be dealt with in a suitable way 因此，如果怀疑存在异方差或者已经检测到了异方差的存在，就要想办法克服它，使估计量具有较小的方差，使回归模型有较强的实用性。
If it is estimated by the method of ols , it will bring about serious effect : the variances of the parameter estimators are not the least , and the accuracy of estimation and prediction decreases 如果对异方差模型进行ols估计，就会产生严重的后果：参数估计量的方差不具有最小方差性；估计与预测的精度降低。
In this paper , the limit theory is discussed and the main problems are solved as followed : 1 . we will obtain asymptotic normality and consistency of mle for agarch model introduced by wu shuosi and fang zhaoben ( 2000 ) . 2 对于吴硕思和方兆本( 2000 )提出的非对称广义自回归条件异方差新模型，证明了它的极大似然估计( mle )的渐近正态性和相合性。
