标题： 关于时变幅度HGARCH模型 显示英文标题

标题： On Time-Varying Amplitude HGARCH Mode

摘要： HGARCH 模型允许波动率中存在长记忆效应。 本文考虑了一种具有时变幅度的新 HGARCH 模型。 我们还展示了该模型的稳定性。 引入了一个得分检验来检查幅度中的时变行为。 一些风险价值测试被应用于评估预测效果。 提供了模拟结果，进一步支持了所提出的模型。 我们还通过与 HGARH 和 FIGARCH 模型在标普 500 指数某些时间段内的比较，展示了我们模型在预测方面的竞争力。 显示英文摘要

摘要： The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well. A score test is introduced to check the time-varying behavior in amplitude. Some value-at-risk tests are applied to evaluate the forecastings. Simulations are provided which provide further support to the proposed model. We have also have shown the competative performance of our model in forecasting, by compairing it with HGARH and FIGARCH models for some period of SP500 indices.