简介：Motivatedbythedoubleautoregressivemodelwithorderp(DAR(p)model),inthispaper,westudythemovingaveragemodelwithanalternativeGARCHerror.ThemodelisanextensionfromDAR(p)modelbylettingtheorderpgoestoinfinity.Thequasimaximumlikelihoodestimatoroftheparametersinthemodelisshowntobeasymptoticallynormal,withoutanystrongmomentconditions.Simulationresultsconfirmthatourestimatorsperformwell.WealsoapplyourmodeltostudyarealdatasetandithasbetterfittingperformancecomparedtoDARmodelfortheconsidereddata.
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