The Progressive Nature Of The Garch (1,2) Model Of Quasi-likelihood Estimation And A Simple Application

In Chapter one of this paper, the theories of Lee& Hansen are to be extended to the GARCH(1,2) case. The conditions of the paper are similar to (to some extent weaker than) that of Lee&Hansen.In Chapter 2, there is an empirical work to analysis the industrial Indexes of SSE. we will show that not any mean of the revenue rates of the industrial indexes is significantly beyond value zero at confident level 0.90. Moreover the mean of the revenue rate of SSE 30 Index is negative (though not significant). And the fact of 'the heritage of variance' appears congruous to the feature of industries represented by the corresponding indexes.There are many potential generalizations of both chapters of this paper, which remain the topics for our future research.