ARCH(1)
y t = ϵ t y_t=\epsilon_t yt=ϵt
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ηt∼i.i.d.N(0,1)
极大似然估计
假设观测数据集为
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\begin{align*} L(\theta)&=f_\theta(y_1,\ldots,y_T) \\ &=\prod\limits_{t=2}^Tf_\theta(y_t|y_{t-1},\ldots,y_1)f_\theta(y_1) \\ &=\prod\limits_{t=2}^Tf_\theta(y_t|y_{t-1})f_\theta(y_1) \\ &=\prod\limits_{t=2}^Tf_\theta(y_t|\epsilon_{t-1})f_\theta(y_1) \end{align*}
L(θ)=fθ(y1,…,yT)=t=2∏Tfθ(yt∣yt−1,…,y1)fθ(y1)=t=2∏Tfθ(yt∣yt−1)fθ(y1)=t=2∏Tfθ(yt∣ϵt−1)fθ(y1)
y 1 ∼ N ( 0 , α 0 1 − α 1 ) y_1\sim N(0,\dfrac{\alpha_0}{1-\alpha_1}) y1∼N(0,1−α1α0)
由 y t = ϵ t y_t=\epsilon_t yt=ϵt可知, y t y_t yt服从正态分布,且 E y t = 0 Ey_t=0 Eyt=0
V a r ( y t ) = E y t 2 = E η t 2 ( α 0 + α 1 ϵ t − 1 2 ) = E η t 2 ( α 0 + α 1 y t − 1 2 ) = α 0 + α 1 E y t − 1 2 Var(y_t)=Ey_t^2=E\eta^2_t(\alpha_0+\alpha_1\epsilon_{t-1}^2)=E\eta^2_t(\alpha_0+\alpha_1y_{t-1}^2)=\alpha_0+\alpha_1Ey_{t-1}^2 Var(yt)=Eyt2=Eηt2(α0+α1ϵt−12)=Eηt2(α0+α1yt−12)=α0+α1Eyt−12
由 y t y_t yt平稳可知二阶矩不随时间变化,即 E y t 2 = E y t − 1 2 Ey_t^2=Ey_{t-1}^2 Eyt2=Eyt−12,故有
V a r ( y t ) = α 0 1 − α 1 Var(y_t)=\dfrac{\alpha_0}{1-\alpha_1} Var(yt)=1−α1α0
y t ∣ y t − 1 ∼ N ( 0 , α 0 + α 1 y t − 1 2 ) y_t|y_{t-1}\sim N(0,\alpha_0+\alpha_1y_{t-1}^2) yt∣yt−1∼N(0,α0+α1yt−12)
E y t ∣ y t − 1 = E y t ∣ ϵ t − 1 = E η t α 0 + α 1 ϵ t − 1 2 ∣ ϵ t − 1 = E η t ∣ ϵ t − 1 E α 0 + α 1 ϵ t − 1 2 ∣ ϵ t − 1 = 0 Ey_t|y_{t-1}=Ey_t|\epsilon_{t-1}=E\eta_t\sqrt{\alpha_0+\alpha_1\epsilon_{t-1}^2}|\epsilon_{t-1}=E\eta_t|\epsilon_{t-1}E\sqrt{\alpha_0+\alpha_1\epsilon_{t-1}^2}|\epsilon_{t-1}=0 Eyt∣yt−1=Eyt∣ϵt−1=Eηtα0+α1ϵt−12∣ϵt−1=Eηt∣ϵt−1Eα0+α1ϵt−12∣ϵt−1=0
V a r ( y t ∣ y t − 1 ) = ( α 0 + α 1 y t − 1 2 ) V a r ( η t ) = α 0 + α 1 y t − 1 2 Var(y_t|y_{t-1})=(\alpha_0+\alpha_1y_{t-1}^2)Var(\eta_t)=\alpha_0+\alpha_1y_{t-1}^2 Var(yt∣yt−1)=(α0+α1yt−12)Var(ηt)=α0+α1yt−12
综上可得:
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L(\theta)=\prod\limits_{t=2}^T\dfrac{1}{\sqrt{2\pi(\alpha_0+\alpha_1y_{t-1}^2)}}exp\left(-\dfrac{y_t^2}{2(\alpha_0+\alpha_1y_{t-1^2})} \right)\dfrac{1}{\sqrt{2\pi\alpha_0/(1-\alpha_1)}}exp\left( -\dfrac{y_1^2}{2\alpha_0/(1-\alpha_1)} \right)
L(θ)=t=2∏T2π(α0+α1yt−12)1exp(−2(α0+α1yt−12)yt2)2πα0/(1−α1)1exp(−2α0/(1−α1)y12)
对 − l n L ( θ ) -lnL(\theta) −lnL(θ)采用梯度下降求解得参数估计
条件似然估计
在给定
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\begin{align*} L(\theta)&=f_\theta(y_1,\ldots,y_T|y_0) \\ &=\prod\limits_{t=1}^Tf_\theta(y_t|y_{t-1}) \\ &=\prod\limits_{t=1}^T\dfrac{1}{\sqrt{2\pi(\alpha_0+\alpha_1y_{t-1}^2)}}exp\left( -\dfrac{y_t^2}{2(\alpha_0+\alpha_1y_{t-1}^2)} \right) \end{align*}
L(θ)=fθ(y1,…,yT∣y0)=t=1∏Tfθ(yt∣yt−1)=t=1∏T2π(α0+α1yt−12)1exp(−2(α0+α1yt−12)yt2)
y t ∣ y t − 1 ∼ N ( 0 , α 0 + α 1 y t − 1 2 ) y_t|y_{t-1}\sim N(0,\alpha_0+\alpha_1y_{t-1}^2) yt∣yt−1∼N(0,α0+α1yt−12)
同样对 − l n L ( θ ) -lnL(\theta) −lnL(θ)利用梯度下降求解得参数估计。