Inference using estimating functions with applications

波动率模型对资产定价、最优投资组合理论和风险管理具有影响。 直到 1982 年，基础证券的波动性或瞬时回报率都被假设为恒定。自从 Robert F. Engle 在 1982 年认识到波动性随时间变化的性质以来，人们进行了广泛的研究来扩展他的自回归条件异方差 (ARCH) 模型类别，以纳入财务回报数据的其他显着特征。恩格尔对波动性随时间变化的性质的认识对经济学理论产生了重大影响。 然而，波动率建模研究中提出的模型的许多统计特性还有待研究，并提供了大量的研究机会。

Volatility modelling has implications for asset pricing, optimal portfolio theory and risk management. Volatility or the instantaneous rate of return of the underlying security was assumed to be constant up until 1982. Ever since Robert F. Engle recognized the time-varying nature of volatility in 1982, there has been extensive research into extending his class of autoregressive conditional heteroscedastic (ARCH) models to incorporate additional salient features of financial returns data. Engle's recognition of the time-varying nature of volatility has made a significant impact in the theory of economics. However, many statistical properties of the models proposed in volatility modelling research have yet to be studied and provide a wealth of research opportunities.