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❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍✲t②♣❡ ♣r♦❝❡ss❡s ❈❤r✐st✐❛♥ ❋r❛♥❝q ❏❡❛♥✲▼✐❝❤❡❧ ❩❛❦♦ï❛♥ ❈❘❊❙❚ ❛♥❞ ❯♥✐✈❡rs✐t② ♦❢ ▲✐❧❧❡✱ ❋r❛♥❝❡ ◆❡✇ ❘❡s✉❧ts ♦♥ ❚✐♠❡ ❙❡r✐❡s ❛♥❞ t❤❡✐r ❙t❛t✐st✐❝❛❧ ❆♣♣❧✐❝❛t✐♦♥s ❈■❘▼✱ ✶✹✲✶✽ ❙❡♣t❡♠❜❡r✱ ✷✵✷✵ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ❋✐♥❛♥❝✐❛❧ t✐♠❡ s❡r✐❡s ❆ st❛♥❞❛r❞ ❛ss✉♠♣t✐♦♥ ✐s t❤❛t ♣r✐❝❡s ❛r❡ ♥♦♥st❛t✐♦♥❛r② ✇❤✐❧❡ r❡t✉r♥s ✭♦r ❧♦❣ r❡t✉r♥s✮ ❛r❡ ✭str✐❝t❧②✮ st❛t✐♦♥❛r②✳ ■t ✐s ❣❡♥❡r❛❧❧② ❛❞♠✐tt❡❞ t❤❛t ♠❛♥② ✜♥❛♥❝✐❛❧ r❡t✉r♥s s❡r✐❡s ❤❛✈❡ ❤❡❛✈② t❛✐❧❡❞ ♠❛r❣✐♥❛❧ ❞✐str✐❜✉t✐♦♥s✳ ❍♦✇❡✈❡r✱ t❤❡r❡ ✐s ♥♦ ❝♦♠♠♦♥❧② ❛❝❝❡♣t❡❞ ❛ss✉♠♣t✐♦♥ ❝♦♥❝❡r♥✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ♦❢ s✉❝❤ r❡t✉r♥s✳ ▼❛♥② s❡❛r❝❤❡rs ❛r❣✉❡ t❤❛t st♦❝❦ r❡t✉r♥s ♠✐❣❤t ♥♦t ❛❞♠✐t ✹t❤✲♦r❞❡r ♠♦♠❡♥ts ✭s❡❡ ❡✳❣✳ P♦❧✐t✐s ✭✷✵✵✼✮✮✱ ✇❤✐❧❡ s♦♠❡ ❡✈❡♥ q✉❡st✐♦♥ t❤❡ ❡①✐st❡♥❝❡ ♦❢ s❡❝♦♥❞✲♦r❞❡r ♠♦♠❡♥ts✳ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ❊①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ✐s ❝❡♥tr❛❧ t♦ ♠❛♥② ❛♣♣❧✐❝❛t✐♦♥s ■♥ ♣r❡s❡♥❝❡ ♦❢ ❤❡❛✈② t❛✐❧s✱ ♠❛♥② st❛t✐st✐❝❛❧ t♦♦❧s ❞❡✈❡❧♦♣❡❞ ❢♦r t❤❡ ❛♥❛❧②s✐s ♦❢ ✜♥❛♥❝✐❛❧ t✐♠❡ s❡r✐❡s ❜❡❝♦♠❡ ✐♥✈❛❧✐❞ ✳ ❋♦r ✐♥st❛♥❝❡✱ ✉s✐♥❣ t❤❡ ❡①♣❡❝t❡❞ s❤♦rt❢❛❧❧ ✐♥ r✐s❦ ❛♥❛❧②s✐s r❡q✉✐r❡s ✜♥✐t❡♥❡ss ♦❢ t❤❡ ✜rst ❛❜s♦❧✉t❡ ♠♦♠❡♥t✳ ▲♦♥❣✲r✉♥ ❤♦r✐③♦♥s ♣r❡❞✐❝t✐♦♥s ♦❢ t❤❡ sq✉❛r❡❞ r❡t✉r♥s r❡q✉✐r❡ ✜♥✐t❡ ✉♥❝♦♥❞✐t✐♦♥❛❧ ✈❛r✐❛♥❝❡ ♦❢ t❤❡ r❡t✉r♥s✱ ❛♥❞ t❤❡✐r ❝♦♥✜❞❡♥❝❡ ✐♥t❡r✈❛❧s r❡q✉✐r❡ ✜♥✐t❡ ❢♦✉rt❤✲♦r❞❡r ♠♦♠❡♥ts✳ ❊st✐♠❛t✐♦♥ ♠❡t❤♦❞s ♠❛② ❛❧s♦ r❡q✉✐r❡ t❤❡ ❡①✐st❡♥❝❡ ♦❢ s♦♠❡ ♠♦♠❡♥ts✳ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ❚❡st✐♥❣ st❛t✐♦♥❛r✐t② ♦❢ ✜♥❛♥❝✐❛❧ s❡r✐❡s ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts✿ t❛❝❦❧❡❞ ✐♥ ❞✐✛❡r❡♥t ✇❛②s ✐♥ t❤❡ ❧✐t❡r❛t✉r❡✱ ❛♠♦♥❣ ♦t❤❡rs ▲♦r❡t❛♥ ❛♥❞ P❤✐❧❧✐♣s ✭✶✾✾✹✮✿ ♥♦♥♣❛r❛♠❡tr✐❝ ♠❡t❤♦❞s ❢♦r t❡st✐♥❣ t❤❡ ❝♦♥st❛♥❝② ♦❢ t❤❡ ✉♥❝♦♥❞✐t✐♦♥❛❧ ✈❛r✐❛♥❝❡ ✇❤❡♥ t❤❡ ❢♦✉rt❤ ✉♥❝♦♥❞✐t✐♦♥❛❧ ♠♦♠❡♥t ✐s ✐♥✜♥✐t❡✳ ❊st✐♠❛t✐♦♥ ♦❢ t❤❡ t❛✐❧ ✐♥❞❡① ❢♦r ❞❡♣❡♥❞❡♥t ♦❜s❡r✈❛t✐♦♥s❀ ❡✳❣✳ ❍✐❧❧ ✭✷✵✶✺✮✳ ❉✇✐✈❡❞✐ ❛♥❞ ❙✉❜❜❛ ❘❛♦ ✭✷✵✶✶✮✿ ❆ t❡st ❢♦r s❡❝♦♥❞✲♦r❞❡r st❛t✐♦♥❛r✐t② ♦❢ ❛ t✐♠❡ s❡r✐❡s ❜❛s❡❞ ♦♥ t❤❡ ❞✐s❝r❡t❡ ❋♦✉r✐❡r tr❛♥s❢♦r♠✳ ❚r❛♣❛♥✐ ✭✷✵✶✻✮✿ ❛ t❡st ❢♦r ✜♥✐t❡♥❡ss ♦❢ t❤❡ k ✲t❤ ♠♦♠❡♥t ♦❢ ❛ r❛♥❞♦♠ ✈❛r✐❛❜❧❡❀ ❜❛s❡❞ ♦♥ t❤❡ ❝♦♥✈❡r❣❡♥❝❡✴❞✐✈❡r❣❡♥❝❡ ♦❢ s❛♠♣❧❡ ♠♦♠❡♥ts✳ ❚❡st✐♥❣ str✐❝t st❛t✐♦♥❛r✐t② ✐♥ ●❆❘❈❍✲t②♣❡ ♠♦❞❡❧s✿ ❏❡♥s❡♥ ❛♥❞ ❘❛❤❜❡❦ ✭✷✵✶✹❛✱ ✷✵✶✹❜✮✱ ❋❩ ✭✷✵✶✷✱ ✷✵✶✸✮✱ P❡❞❡rs❡♥ ❛♥❞ ❘❛❤❜❡❦ ✭✷✵✶✻✮✱ ▲✐✱ ❩❤❛♥❣✱ ❩❤✉ ❛♥❞ ▲✐♥❣ ✭✷✵✶✽✮✳ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ❖✉t❧✐♥❡ ❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ✶ ❚❡sts ❜❛s❡❞ ♦♥ t❤❡ ●❛✉ss✐❛♥ ◗▼▲ ❊✣❝✐❡♥❝② ❣❛✐♥s ✈✐❛ ●❡♥❡r❛❧✐③❡❞ ◗▼▲ ◆✉♠❡r✐❝❛❧ ✐❧❧✉str❛t✐♦♥s ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ✷ ❚❡sts ❜❛s❡❞ ♦♥ t❤❡ ▼●❋ ❛♥❞ ▼▼❊ P♦✇❡r ❝♦♠♣❛r✐s♦♥s ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❜❛s❡❞ ♦♥ t❤❡ ●❛✉ss✐❛♥ ◗▼▲ ❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❊✣❝✐❡♥❝② ❣❛✐♥s ✈✐❛ ●❡♥❡r❛❧✐③❡❞ ◗▼▲ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ◆✉♠❡r✐❝❛❧ ✐❧❧✉str❛t✐♦♥s ❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ✶ ❚❡sts ❜❛s❡❞ ♦♥ t❤❡ ●❛✉ss✐❛♥ ◗▼▲ ❊✣❝✐❡♥❝② ❣❛✐♥s ✈✐❛ ●❡♥❡r❛❧✐③❡❞ ◗▼▲ ◆✉♠❡r✐❝❛❧ ✐❧❧✉str❛t✐♦♥s ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ✷ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s

❚❡sts ❜❛s❡❞ ♦♥ t❤❡ ●❛✉ss✐❛♥ ◗▼▲ ❚❡sts ❢♦r t❤❡ st❛♥❞❛r❞ ●❆❘❈❍ ♠♦❞❡❧ ❊✣❝✐❡♥❝② ❣❛✐♥s ✈✐❛ ●❡♥❡r❛❧✐③❡❞ ◗▼▲ ❚❡sts ❢♦r ❛✉❣♠❡♥t❡❞ ●❆❘❈❍ ◆✉♠❡r✐❝❛❧ ✐❧❧✉str❛t✐♦♥s ▼♦❞❡❧✿ ❙t❛♥❞❛r❞ ●❆❘❈❍✭ p, q ✮  ( η t ) ✐✳✐✳❞✳ , Eη t = 0 , Eη 2 ǫ t = σ t η t , t = 1 ,  t = ω 0 + � q t − i + � p  σ 2 i =1 α 0 i ǫ 2 j =1 β 0 j σ 2 t − j ◆❙❈ ❢♦r t❤❡ ❡①✐st❡♥❝❡ ♦❢ ❡✈❡♥✲♦r❞❡r ♠♦♠❡♥ts ❞❡♣❡♥❞ ♦♥ t❤❡ ♠♦♠❡♥ts η t ✭❡①❝❡♣t ❢♦r t❤❡ ✷♥❞ ♦r❞❡r✮✳ ❬❙❡❡ ▲✐♥❣ ❛♥❞ ▼❝❆❧❡❡r ✭✷✵✵✷✮✱ ❈❤❡♥ ❛♥❞ ❆♥ ✭✶✾✾✽✮✱ ❍❡ ❛♥❞ ❚❡räs✈✐t❛ ✭✶✾✾✾✮❪ ❙♦♠❡ ♦❢ t❤❡s❡ ❝♦♥❞✐t✐♦♥s ❛r❡ ❡①♣❧✐❝✐t ✭❛❧❣❡❜r❛✐❝ ❢♦r♠✮✿ ✷♥❞✲♦r❞❡r ✭❢♦r ❛❧❧ p ❛♥❞ q ✮❀ 2 m ✲t❤ ♦r❞❡r ✭ p = q = 1 ✮ ❋r❛♥❝q✱ ❩❛❦♦✐❛♥ ❚❡st✐♥❣ t❤❡ ❡①✐st❡♥❝❡ ♦❢ ♠♦♠❡♥ts ❢♦r ●❆❘❈❍ ♣r♦❝❡ss❡s