garch 中文意思是什麼

garch 解釋
我國股票價格序列波動的
  1. Risk analysis of portfolio by copula - garch

    的投資組合風險分析
  2. A portfolio selection model on copula - garch - evt based and its hybrid genetic algorithm

    的資產組合選擇模型及其混合遺傳演算法
  3. A comparative analysis of realized volatility and garch model

    模型的特徵比較分析
  4. Here we developed the general arma ( p, q ) - garch ( r, s ) - m ( k ) models, which maybe become increasingly important for estimating volatility returns and exogenous shocks for finance data. after we present the posterior distribution of the model and the full conditional distributions of all the parameters of the model, we develop a hybrid metropolis - hastings algorithm for estimating the parameters of arma - garch - m models based on the works of bayesian chib and greenberg ( 1994 ) and nakatsuma ( 2000 ). here we simplified the estimations in ma and garch block

    作為該模型的推廣，我們在本文中提出了一個一般的arma （ p ， q ） - garch （ r ， s ） - m （ k ）模型，並在詳細給出模型的后驗分佈以及模型的所有參數的滿條件分佈的基礎上，結合chibandgreenberg （ 1994 ）與nakatsuma （ 2000 ）等人的工作，對此新模型設計了一個可行的混合metropolis - hastings演算法，簡化了ma塊與garch塊的估計。
  5. Markov chain monte carlo ( mcmc ) algorithms have achieved a considerable following in the statistics and econometrics literature in the last ten years. there has been considerable research on so - called generalized autoregressive conditional heteroskedastic ( garch ) models for dealing with these methods since the remarkable works of chib and greenberg ( 1994 )

    Mcmc演算法在近10年來越來越受到統計界與計量經濟界的廣泛重視，自從chib和greenberg （ 1994 ）開創性地提出了對arma模型的mcmc演算法后，國內外有許多學者開始對自回歸條件異方差模型的mcmc演算法進行了大量的研究。
  6. Comparative research of goodness of fit between sv and garch models by likelihood ratio test

    模型擬合優度比較的似然比檢驗
  7. Secondly, theoretical models for time series, such as garch, egarch, tarch and garch - in mean, and the methods of parameter estimation are introduced. then, these models are employed to test the volatility in shanghai a - share, shanghai b - share, shenzhen a - share and shenzhen b - share. next, in chapter 4, we study the co - integration and test the granger causality between the four share indexes. finally, the spillover of volatility between a - shares and b - shares markets are tested

    第二，通過模型的比較分析，發現殘差基於t分佈的arch類模型較之基於正態分佈和ged分佈的arch模型能更好地刻畫我國股指收益率序列的特徵。第三，滬深a股在兩個階段的變化甚微，保持著非對稱效應，對利空消息的波動大於利好消息的波動，風險補償為正向，且風險補償系數的變化不大。
  8. In order to allow the mean value of returns to depend upon volatility in the market, engle, lilien and robins ( 1987 ) introduced the garch - m models

    為了將市場風險更好地反應在投資回報中， engle等人（ 1987 ）引入了garch - m模型。
  9. Unit root tests on time series with garch - skew - t error term

    誤差項的時序的單位根檢驗
  10. The fifth chapter " stock price arfima, garch and figarch model " introduced different kinds of time series models including fractal model, method such as analysis of variance ( anova ) and unit root test to test the stability of time series, method and criteria to estimate the arfima, garch and figarch model

    第五章介紹了股票價格的分形時間序列模型，介紹了檢驗時間序列平穩性的方差分析和單位根檢驗方法以及非平穩的處理方法， arfima ， garch和figarch模型的建模方法和股票市場的分形特徵和股票價格的figarcll模型叭穴參數估計方法和估計準則。
  11. Discussion of jumps catching capability of garch - jump model

    模型對跳行為捕捉能力的討論
  12. Because return of chinese security market is non - normal distribution, so we use garch - t model which can describe the time - variation of volatility and the high - peaked and heavy - tailed characteristics of return to calculate var value of market index. from empirical results we know that this model is efficient

    考慮到中國證券市場收益率序列分佈的非正態性，本文使用了既能描述方差時變性又能反映收益率分佈的尖峰、厚尾特徵的garch - t模型計算市場指數的var值，實證結果表明該模型是有效的。
  13. To the forecasting research of a stock multiple market and b stock multiple market, beginning with garch model of the stock return rate and the volatility, we discuss the multiple market diagonal portfolios strategy on the foundation of the forecasting research to the return volatility of the stock by using asymmetric garch and bekk model which are the deformations of garch model, and finally, we construct the portfolios by way of the selection of volatility forecasting model

    在綜合市場股票收益波動性的可預測性研究方面，著眼于a股綜合市場和b股綜合市場，對其收益波動性的可預測性研究，主要從股票收益率與波動性的garch模型入手，並用其變形?非對稱性garch模型及bekk模型對我國a股綜合市場和b股綜合市場收益波動性進行可預測性研究，在此基礎上，探討了單變量對角投資組合戰略和多變量對角投資組合戰略，最後通過波動預測模型的選擇來構造投資組合。
  14. The autoregressive conditional heteroskedastic ( arch ) class of models for conditional variances was put forward by engle ( 1982 ) proved to be extremely useful for analyzing economic time series. garch models have been developed to account for empirical regularities in financial data

    Engle （ 1982 ）提出的arch模型，對經濟時間序列中的條件方差分析十分有用， arch模型可以很好地刻劃金融數據。
  15. From results we know that correlation of return time series is not obvious, but correlation of the square time series of return, i. e., variance time series, is clear. so we use garch model to estimate conditional variance, and calculated parameters in model by the way

    應用相關性分析，得出了收益率序列之間不存在明顯的序列相關性，而收益率平方序列存在顯著的相關性，即方差序列存在相關性，因此我們使用g刁rch模型建模來估計條件方差，計算出了模型中的相應參數
  16. This part mainly discusses the statistical distribution of the price and the returns rate, including random process and the returns rate model, gaussian process, measuring returns rate with discrete random process, white noise process, auto regression process, moving average process, auto regression moving average process, random walk, continuous random process, leptokurtic distribution, conditional mixed distribution, garch model and fractal distribution

    在這一部分中，我們主要討論價格和收益率的統計分佈：隨機過程和收益率模型、高斯過程、收益率計量中的離散隨機過程、白噪聲過程、自回歸過程、移動平均過程、自回歸移動平均過程、隨機行走、連續隨機過程、尖峰分佈、條件混合分佈、 garch模型以及分形分佈。
  17. The comparative research between the sv and garch models on their abilities to describe financial time series

    非最小相位線性非高斯序列的替代數據檢驗
  18. The application of garch - bp model in forecasting the stock price index

    模型的股指預測及實證分析
  19. The distributions studied are normal distribution, student - t distribution, skewed student - t distribution and general error distribution. besides this, considering the conditional heteroskedasticity of the time serial in financial market, apply the garch model into the estimation of var

    在此基礎上，研究了證券市場上時間序列收益率波動的條件異方差性，考慮中國證券市場的風險特徵，將garch系列模型與var模型相結合，構造了基於不同分佈條件下的var模型。
  20. 2. the stable asymmetric power - garch model is applied to szsi and shci and stable law is fitted into the empirical distributions. the stability of standardized stable innovation is checked and the evaluation of prediction accuracy is performed

    2 .對szsi以及shci建立了非對稱穩定冪- garch模型，對其標準穩定新息進行了穩定分佈擬合、穩定性檢驗以及預測精確性的實證檢驗。
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