Maximum entropy autoregressive conditional heteroskedasticity model
最大熵自回归条件异方差模型
In many applications, it has been found that the autoregressive conditional heteroskedasticity (ARCH) model under the conditional normal or Student's t distributions are not general enough to account for the excess kurtosis in the data. Moreover, asymmetry in the financial data is rarely modeled in a systematic way. In this paper, we suggest a general density function based on the maximum entropy (ME) approach that takes account of asymmetry, excess kurtosis and also of high…