garch
- 网络广义自回归条件异方差；广义自回归条件异方差模型；广义自回归异方差(generalized auto-regressive conditional heteroscedasticity)
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广义自回归条件异方差
因此广义自回归条件异方差（GARCH） 模型被广泛的应用在解释通货膨胀的波动性、利率的期限结构、股票市场回报率的波动 …
广义自回归条件异方差模型
多元广义自回归条件异方差模型（GARCH），即多元GARC 大小:175.51KB | 更新时间:2011/8/12 兼顾时间序列模型和多因素 …
广义自回归异方差(generalized auto-regressive conditional heteroscedasticity)
(一)基于广义自回归异方差(GARCH)模型 广义自回归异方差模型是Bollerslev(1986)在对ARCH模型的一些约束条件扩展而得， …
1
The results show that the GARCH model can be a good fit to the weekly return series of Shenzhen Stock Index.
结果表明，深证成指周收益率序列的波动性可以用GARCH模型进行很好的拟合。
2
The repo rate of the national bond is analyzed and ARIMA and GARCH models related to the rate are established in this paper.
以国债回购利率为研究对象，分别建立ARIMA及GARCH模型，并比较这两种模型的预测能力。
3
The generalized autoregressive conditional heteroscedasticity (GARCH) model has the ability to describe the volatility of time series.
广义自回归条件异方差（GARCH）模型具有描述时间序列波动性的能力。
4
To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.
对刻画金融市场波动的相关模型进行描述，主要包括ARCH、GARCH类模型。
5
Conclusions AR-GARCH model is suitable for analyzing heteroscedastic time-series data of infectious diseases.
结论AR-GARCH模型适用于传染病疫情数据构成的异方差性时序数据分析。
6
In financial applications, the conventional GARCH model has arguably been the most popular model for conditional variance.
在金融应用中，传统的GARCH模型曾经成为描述条件方差最流行的模型。
7
In the thesis, the methods of volatility research on open-end fund market are introduced firstly and GARCH models are well discussed.
本文首先回顾了开放式基金市场波动性研究的方法，详细讨论了GARCH类模型。
8
Besides, the AE- GARCH model considering asymmetric effect of basis can precisely forecast the futures volatility.
而考虑基差非对称效应的AE-GARCH模型能更准确地预测期货的波动性。
9
The result proves that the solution of the price determination model tallies the volatility characteristic based on the GARCH model.
结果证明基于控制论的价格决定模型解得的股票价格波动特征与上文中基于GARCH模型的股票价格波动特征相吻合。
10
However, both ARCH and GARCH model don't take the structural changes of volatility into consideration.
然而，无论是GARCH还是其他ARCH类模型都没有考虑到波动的结构变换问题。
11
Empirical research demonstrated that: fluctuations in international oil prices have a significant GARCH effects and volatility asymmetry.
通过研究发现，国际油价波动具有明显的GARCH效应和波动不对称性。
12
Testing for Constant Hedge Ratios in Futures Markets: A Multivariate GARCH Approach.
期货市场固定避险比率之检验-多元GARCH模型之应用。
13
To calculate liquidity risk, VAR method was used. The results were adjusted by using GARCH model, then we got the conclusion.
通过VAR方法的引入，使用GARCH模型对风险进行调整之后，得到关于样本基金资产组合流动性风险状况。
14
The back test result shows that the GARCH-EVT model can also better predict the foreign exchange risk like describing share risk.
后验测试的结果表明，与股市风险的研究结果一样，GARCH-EVT模型能较好地预测单一外汇风险。
15
MGARCH model is mainly constituted by two parts, the mean equation and conditional variance covariance equations.
多元GARCH模型主要由两部分构成，分别是均值方程和条件方差协方差方程。
16
In this paper, the ARIMA-GARCH model is used to reflect the influence of the strike phase.
本文采用ARIMA-GARCH分阶段干预模型，反映罢工的阶段性对油价波动的影响。
17
For all, ARMA-GARCH model is the best overall- its prediction is the best.
综合而言，各个模型中ARMA-GARCH模型的整体表现最好，其预测效果也是最好的。
18
The paper makes use of Granger causality test and GARCH model to tests the return spillover and volatility spillover effect.
本文将利用两步法的GARCH模型对股票市场和权证市场的均值溢出和波动溢出进行检验。
19
In more details, firstly, this paper introduces two most common classes of interest rate models, that is diffusion models and GARCH models.
本文首先介绍了两种应用最广泛的利率模型，即扩散模型和GARCH模型；
20
In order to evaluate the efficiency of hedge, OLS method arid BGARCH model are both used to calculate the optimal hedge ratios.
为了评估套期保值的效果，最小二乘方法（OLS）及二元GARCH（BGARCH）模型常被用于最优套期保值比率的估计。
21
This study explores variations in mean and volatility of Taiwan's stock index returns using assorted GARCH(1, 1)-M models.
本文利用包括不同因子的GARCH（1,1）-M模型，有系统地探讨了台湾股价指数月、周及日报酬率之线性及非线性变动。
22
For the univariate case, we discuss two kinds of dynamic models: GARCH type model and regime switching model.
对于单变量的情况，本文讨论了两种动态模型：GARCH类型模型和状态转换模型。
23
An empirical analysis of the Shenzhen stock market is made by using the GARCH model and the SV model.
文章采用GARCH模型和SV模型对深圳股市进行了实证分析；
24
Using three kinds of models of GARCH-M, this paper investigates asymmetric volatility of China stock market.
结果发现，中国股票市场存在显著的波动非对称性，并且在不同阶段呈现不同特点。
25
Stock returns and their volatility are analyzed using the GARCH (1, 1) model with game dummy variables.
模型配合球赛虚拟变数被应用来分析股市报酬及其变动性。
26
The results showed that optimal measurement methods was GARCH(1, 1)-M model based on t-distribution to estimate VaR.
研究结果表明，最优度量方法是基于t分布的GARCH（1,1）-M模型估算VaR的方法。
27
These two types of models have different characters and lots of expanding models, such as GARCH-type models, heavy-tail SV models and so on.
这两类模型都有各自的特点而且还存在众多的扩展模型，例如GARCH类模型和厚尾SV模型等。
28
GARCH kind of model is used broadly to study the relation between price volatility and trading volume.
GARCH类模型在研究股票市场量价关系时得到了广泛的应用。
29
Application of GARCH model family to comparison in two different stages of Shanghai Securities Market
GARCH族模型在上海股市分阶段对比分析中的应用
30
A Note on Stochastic Difference Equations and its Application to GARCH Models
关于随机差分方程的一个注记及其在GARCH模型中的应用