chow test 中文意思是什麼

chow test 解釋
識
  • chow : n. 1. 中國（黑鼻）狗。2. （中國的）州。3. 〈澳口〉中國人。4. 〈美軍俚〉食品，軍糧；吃飯。
  • test : n 1 檢驗，檢查；考查；測驗；考試；考驗。2 檢驗用品；試金石；【化學】試藥；（判斷的）標準。3 【化...
  1. We research the stability of the three - factor model by using chow test and research the coefficient stationary by using unit root test, and forecast the coefficient of the model using arma 、 garch model. the results show that the model is instability in the long run, most coefficient is non - stationary, and we can preferably forecast the coefficient by using the arma 、 garch model. in the process of designing strategic investment portfolios and the strategic risk budgeting prevailing in resently which in order to control investment risk, the investors generally structure their portfolios in different industries

    模型回歸系數是測度投資對象系統風險的重要指標，我們利用chow檢驗對證券收益三因素模型結構的穩定性進行了分析研究，用adf檢驗對模型的三個回歸系數的穩定性進行了實證分析，採用arma和garch模型對回歸系數的預測能力進行了研究，結果表明組合三因素模型結構不穩定，但短期比長期結構穩定性要高;大部分組合回歸系數時序穩定性較差，同時arma和garch模型對每個回歸系數時間序列進行預測顯示有較好的預測能力。
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