2、143-03??????????????????????,??????????????????????????????????????????Nelson(1991)??3????????????????,??????????????????????????????EGARCI1????,??(5)b(??Nelson????????????????????????????,??????????????????????????????????????)????????????,??????????????,????????????????Et-lDEt-1????log(R2t)二
3、X+D12R2+,??????????????????????,????????????Englet~lD2t-1(1982)????????????????????????ARCH????[1],+Blog(R2t~l)(5)????2003????????H??????????,ARCH????①??????????(Et-l>0)??????????(Et-l<0)????????????????9><>a????????b????????1992^2003????????????????????????(D1+D2)/D2t-1??(Dl-D2)/D2t-1,?
4、???GDP??????????????????6??bD2<0,????????????????6??????????????blARCH????????2????????ARCH(p)????????????????T??????????<>a????1992??l??????2003??4kyt=P0+2Piyt-i+Et(1)????????????i=OPR2??????????Oa??????????????????????????GDP,t二X+2AiE2t_i(2)i=l(1)??????????,??H??????k??????2Oa4???????????
5、?????????b????????????<>a??Yt-Yt-lyt=@100????Yt??????GDPb;??(2)??????????,????????????????Yt-l????????????????b2>.1????????3??????(??1)Boilerslev(1986)??ARCH(p)????????????????????????????????[2],????GARCH(p,q),????????ARCH(]),????????????????????????,??????????????????????????????????,???????
6、???????bPqR2t=X+2AiE2t-i+2BiR2t-i(3)i=li=l????????????????????ARCH(p)????????????,Zakoian??Glosten仃994)??????TGARCH????bR2t=X+AE2t-1+CDt-lE2t-l+BR2t-l(4)??????Et<O??Dt二1,????Dt=O,????????????????(Et-l>0),??????????????????<>A+C,????图1增长率变化图????(Et-l<0)??????????????????<>A-C,C????2>.2
7、??q????????(??i)??????????????b*????????:刘敬(1961)),女，天津市人，讲师，研究方向：统计学〈X投资学b????????????B144J0URNAL0FTAISHANMEDICALCOLLEGEVol129Nol22008表1GDP增长率统计表2单位根检验描述统计指标屮国天津检验形式屮国天津(C,T,N)ADFPPADFPP均值(%)4>.7994>.381(N,N,1)-6>.951**-8>・139**-2>・491
