gpd 中文意思是什麼
gpd
解釋
每天加侖數-
One is the evt - based var model ( including gev model and gpd model ), the other is the quantile regression var model. secondly, i evaluate predictive performance of a selection of var models for chinese stock market data. these var models include riskmetrics method, historical simulation, monte carlo method, and the three recent models based on quantile regression and extreme value theory
本文首先重點探討了極值分佈var模型（包括廣義極值分佈和廣義帕雷托分佈兩個模型）和分位數回歸var模型；然後在此基礎上將六個var模型（包括上述三種模型、歷史模擬法、 riskmetrics方法以及蒙特卡洛法）實證應用於估計上證指數、上證180 、深證成指、深證綜指95 var和99 var ；同時採用區間預測法、損失函數法和符號檢驗法對這些var模型進行了選擇評估。
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