Based on the RV-ARMA model, it is discussed that the persistence of conditional variances has a effect on capital asset pricing model (CAPM) from persistence viewpoint.

• 在“已实现”波动自回归移动平均模型基础上，从条件方差持续性的角度，讨论了条件方差的持续性对资产资本定价模型的影响。