广义自回归条件异方差过程 GARCHProcess 被用于描述时间序列展示的波动群集现象. GARCH 过程的时间切片的分布比一般分布有更大的重尾性. 这两种属性使 GARCH 过程在对可显示全部这些现象的金融时间序列的建模中是非常有力的选择.
定义一个弱平稳 GARCHProcess.
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定义一个有固定初始值的 GARCHProcess.
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对每个过程在时间3的切片模拟随机采样.
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用对数刻度的数据可视化顶点的概率密度函数.
| In[4]:= |  X |
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与一个 NormalDistribution 相比较.
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