1)GARCH广义自回归条件异方差
1.This paper estimated the hedge ratios of crude oil futures at four kinds of models: ordinary least square(OLS),Bivariate-vector autoregression(B-VAR),error correction model(ECM) and ECM-GARCH model,then compared the hedging performances obtained from different models.本文利用普通最小二乘法(OLS)、双变量向量自回归(B-VAR)、误差修正(ECM)和广义自回归条件异方差结合误差修正(ECM-GARCH)4个模型和套期保值绩效的衡量指标,对原油期货的套期保值比率和绩效进行实证研究。
2.The regime switching model is combined with generalized autoregressive conditional heteroskedasticity(GARCH) model to analyse empirically Shanghai stock index and Shenzhen constituent index,to capture the characteristics of regime shifts and volatility persistence in China′s stock market and to solve pseudo-persistence in sigle-regime GARCH model.将体制转换模型与广义自回归条件异方差(GARCH)模型相结合,用以对上证综合指数和深圳成分指数进行实证分析。
3.In this article,the two tools were combined to compute VAR,then draw a conclusion that the MC-GARCH-VAR is better than others.分别用样本标准差和广义自回归条件异方差(GARCH)作为参数代入几何布朗运动方程中,并把计算结果进行比较,得出各模型的适用范围。
英文短句/例句
1.Short-Term Electricity Price Forecasting Based on Wavelet Transform and Generalized Autoregressive Conditional Heteroskedasticity Model;基于小波分析与广义自回归条件异方差模型的短期电价预测
2.Application of Wavelet Analysis and Generalized Autoregressive Conditional Heteroscedastic Model Considering Exogenous Variables in Electricity Price Forecast小波分析和考虑外生变量的广义自回归条件异方差模型在电价预测中的应用
3.A Generalized Spectral Density Test of Conditional Autoregressive Heteroscedasticity for Threshold Autoregressive Model;门限自回归模型中自回归条件异方差的广义谱密度检验
4.A GENERALIZED VARIANCE-RATIO TEST FOR A HETEROSKEDASTIC REGRESSION;异方差回归中的广义方差比检验(英文)
5.The Application of ARCH Model in Shanghai Stock Market;自回归条件异方差模型在我国沪市的应用研究
6.Research on Bayesian Analysis of Autoregressive Conditional Heteroscedaticity Models and Their Application;自回归条件异方差模型的贝叶斯分析及其应用研究
7.Day-Ahead Marginal Price Forecasting Based on Autoregressive Conditional Heteroskedasticity-Back Propagation Network Model;基于自回归条件异方差-反向传播网络模型的日前边际电价预测
8.Modeling and Application of Generalized Autoregressive Conditional Density based on JSU Distribution;基于JSU分布的广义自回归条件密度建模及应用
9.Autoregressive conditional volatility-skewness-kurtosis: A new model自回归条件方差-偏度-峰度:一个新的模型
10.Research of Credit Risk Measurement Based on Generalized Autoregressive Conditional Heteroskedasticity基于广义条件异方差的信用风险度量研究
11.Generalized Least Squares Estimates of Parameters In Heteroscedastic Regression Model under Linear Constraint线性约束下的异方差回归模型参数的广义最小二乘估计
12.Testing Heteroscedasticity by Wavelets in a Nonparametric Autoregressive Model非参数自回归模型异方差的小波检验
13.Forecasting Financial Volatilities with Sample Quantiles:The Conditional Autoregressive Quasi-range(QCARR)Model;基于样本分位数的波动率估计：条件自回归拟极差模型
14.Non-conditional Logistic Regression Analysis on Influence Factors of Abnormal Blood Pressure异常血压影响因素非条件Logistic回归分析
15.The Test for Heteroscedasticity of Partially Linear Autoregressive Models with an Exogenous Variable具有外生变量部分线性自回归模型的异方差检验
16.Some problems on heteroscedasticity in multi-linear regression models;多元线性回归模型中的异方差性问题
17.The Conditional Root Squares Estimation of Regression Coefficient in Restricted Linear Regression Model;约束线性回归模型回归系数的条件根方估计
18.A METHOD TO ESTIMATE THE ERROR VARRIANCE MATRIX W_t OF BDLM BY GENERALIZED EXPONENTIALLYWEIGHTED REGRESSION;利用广义指数加权回归估计贝叶斯动态线性模型误差方差矩阵W_t的方法(英文)
相关短句/例句
generalized autoregressive conditional(heteroscedasticity)(GARCH)广义自回归条件方差
3)GARCH广义自回归条件异方差模型
1.Bsaed on the mathematical inference with the mixture of distribution hypothesis(MDH) theory,we take the stock index of Shanghai and Shenzhen markets as the research object and introduce the real trading volume and the trading volume considering the autocorrelation and the day-ofthe-week effect into the generalized autoregressive conditional heteroskedasticity(GARCH) model.基于分布混合假说(MDH)理论的数学推导,以我国深沪股市的大盘指数为研究对象,检验原始交易量、包含自相关性的交易量对广义自回归条件异方差模型(GARCH)效应的解释效果,并分析日历效应对交易量与股价波动性关系的特殊影响。
4)mixture generalized autoregressive conditional heteroscedastic model混合广义自回归条件异方差模型
5)GARCH广义自回归条件异方差模型(GARCH)
6)asymmetric-GARCH非对称广义自回归条件异方差
延伸阅读
回归方差分子式：CAS号：性质：反映自变量与因变量之间的相关程度的方差，其值是回归平方和除以回归自由度。
