ARCH类模型,ARCH models
1)ARCH modelsARCH类模型
1.Application ofARCH models in the Financial Markets;ARCH类模型在金融市场中的应用
2.This article analyzes briefly the characteristic of differentARCH models and then uses relevant models to carry on the empirical study on the market fluctuation characteristics of Chinese securities investment fund.根据不同类型的ARCH类模型的特点及其所刻画的市场波动特征,本文对中国证券投资基金市场波动的聚集性进行检验,分别运用EGARCH和TGARCH模型对证券投资基金波动的非对称性和杠杆效应进行实证研究,运用EGARCH-M模型对证券投资基金波动的风险溢价效应进行实证分析,运用改进的EGARCH模型对证券投资基金波动与信息的关系进行实证研究,并对实证结果进行分析。
3.In this paper, the volatility of Chinese stock market is investigated using theARCH models with regime-switching in the volatility(SWARCH).SWARCH模型较传统的ARCH类模型显著地提高了股票市场波动性的描述与预测能力。
英文短句/例句
1.Estimation on the VaR Based on ARCH Models;ARCH类模型在风险价值测度中的应用
2.Application of ARCH models in the Financial Markets;ARCH类模型在金融市场中的应用
3.Studying on China s Economy Fluctuation with ARCH Family Models;基于ARCH类模型的中国经济波动性研究
4.The Analysis of Domestic Oil Price Fluctuation Based on ARCH Models;基于ARCH类模型的国内油价波动分析
5.Research on ARCH-type models and applicationto shanghai stock exchange index;ARCH类模型研究及其在沪市A股中的应用
6.An Analysis of Stock-market Volatility in China Based on ARCH Models;我国股市波动的ARCH类模型分析
7.The ARCH Model and the Application of It in the Time Series;ARCH类模型及其在时间序列分析中的应用
8.Study on the Fluctuation of Shanghai Security Fund Market on the Base of ARCH model;运用ARCH类模型研究上证基金市场的波动性
9.The Applied Research of the ARCH Model in the Stock Market in China;ARCH类模型在我国股票市场上的应用研究
10.Parameter Estimation and Its Algorithm of ARCH Models Based on Bootstrap基于Bootstrap的ARCH类模型的参数估计及其算法
11.ARCH-Type Models and Its Application of the Return Volatility in Shanghai Stock Exchange IndexARCH类模型及其在上证指数收益波动中的应用
parative Studies on the ARCH-Type Models Volatility Forecasting Based on High-Frequency Data基于高频数据的ARCH类模型波动预测比较分析
13.Estimation and Analysis on the VaR of Chinese Stock Market Based upon ARCH Models;基于ARCH类模型的中国股票市场风险价值的测度与分析
14.An Application of VaR Method to Forecasting Foreign Exchange Risk:Perspectives of ARCH Models;基于ARCH类模型的VaR方法在外汇风险计量中的应用
15.Testing the Asymmetric Effect of Exchange Rate Fluctuation:Using Asymmetric ARCH Models;汇率波动非对称效应的计量检验—基于非对称ARCH类模型
16.Impact to the Results of ARCH Type Models with Different Distribution of the Residual;不同分布对ARCH类模型结果的影响——基于上证指数收益率的对比分析
17.Volatility Analysis on the Shanghai Security Index in the Stock Rights Splitting Reform;股权分置改革中上证指数的波动——基于ARCH类模型的比较分析
parison:the volatility forecasting of BP algorithm and symmetric ARCH model to stock market;BP算法和对称ARCH类模型对股市波动性预测的实证比较
相关短句/例句
ARCH modelARCH类模型
1.The idea of introducingARCH models into the VaR estimation is justified by concrete step of how to useARCH models to calculate VaR.将ARCH类模型用于计算风险价值,会在很大程度上提高风险价值测度的精度。
2.Then, various measurement methods, such as moving average method,ARCH model, stochastic volatility model and implied volatility method are mainly presented.接着,主要介绍移动平均方法、ARCH类模型、随机波动模型以及隐含波动性方法,并在移动平均方法中引入了稳健型指数加权移动平均方法和基于非对称Laplace分布的有偏型指数加权移动平均方法,对ARCH类模型和SV模型及二者的主要扩展模型进行了较为全面的论述,并对模型参数的估计方法进行了介绍。
3.ARCH model,GARCH model and GARCH-M model were introduced,and the character of ARCH-type model was analyzed.介绍ARCH模型、GARCH模型和GARCH—M模型,分析ARCH类模型的特点。
3)ARCH family modelsARCH类模型
1.This paper has usedARCH family models to test the volatility of the return rate of Chinese stock market and discovered that there are some characteristics such as "time variation ","cluster" and "asymmetry" in the market.基于用ARCH类模型对我国股市收益波动进行的实证分析表明,我国股市收益波动具有“时变性”、“集群性”和“不对称性”三个特征;但在我国,政策因素作为影响股市走势的一个重要变量的事实比较明显。
4)ARCH Type ModelsARCH类模型
1.Impact to the Results ofARCH Type Models with Different Distribution of the Residual;不同分布对ARCH类模型结果的影响——基于上证指数收益率的对比分析
5)ARCH-type modelARCH类模型
1.UsingARCH-type model study macro- regulation policies to China\"s real estate market price of the actual effect.利用ARCH类模型研究宏观调控政策对我国房地产市场价格的实际影响。
6)ARCH modelARCH模型
1.ARCH model of share yields on china stock market and empirical analysis;中国股市收益的ARCH模型与实证分析
2.Diagnose analysis inARCH models;ARCH模型的诊断分析
3.The comparison of ARIMA model andARCH model application in HongKong stock price index prediction;ARIMA模型与ARCH模型在香港股指预测方面的应用比较
延伸阅读
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