Then ARCH model is well discussed and the stochastic volatility model is introduced.
之后详细讨论了ARCH模型及其扩展形式，并对随机波动率模型做了简单介绍。
This paper orders option prices under different well known martingale measures in an incomplete stochastic volatility model.
基于不完备的随机波动率模型，本文给出了不同著名鞅测度下定价的大小顺序。
In this paper we propose to a stochastic volatility model based on daily returns and intra-daily high-low price range jointly.
本文引入了基于日内价格幅度与回报两个测度指标的随机波动率模型。
Aimed at this case, this paper try to construct a simple stochastic volatility model - volatility following a finite Markov chain.
针对这种情况，本文试图建立一种比较简单的随机波动率模型——波动率服从有限马氏链的模型。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价。
The Stochastic Volatility models (SV model) is a kind of time series model which can reflect fluctuation that can not be observed directly.
随机波动(SV)模型是一种重要的具有隐性波动的时间序列模型。
The results indicated that in these two types of models, the EGARCH-M model and the leverage stochastic volatility model had better fitting results.
拟合结果表明，在两类模型中egarch - M模型和杠杆随机波动模型具有较好的拟合效果。
Stochastic volatility model is one of the most important models in describing the volatility of financial market and its parameter estimation is a hot topic in this area.
随机波动模型作为金融市场波动量化研究的一种重要模型，其参数估计问题是近十余年来该领域的研究热点。
The author further compares the ASVJD model with the Geometric Brownian model, CKLS model, Geometric Brownian with Jump model and the Affine Stochastic Volatility model in demonstration.
同时，分别将其与几何布朗运动模型、CKLS模型、带跳跃的几何布朗运动模型和仿射随机波动模型进行了比较研究。
To solve the higher peak and fat tail phenomenon, immediate memory and asymmetric features, this paper formulate the volatility model of exchange rate returns using the ARFIMA-EGARCH-M model.
为了解决汇率收益率波动中的“尖峰厚尾”、中期记忆和非对称特征，提出了利用ARFIMA - EGARCH - M模型建立汇率收益率波动模型。
Empirical results on Chinese stock market indicate that stochastic volatility model based on the two index outperforms those based on one index in capturing volatility character and market risk.
利用中国股市数据进行的实证结果表明，与单测度指标的随机波动率模型相比，基于两个测度指标的随机波动率模型能更好地描述股票市场波动率和市场波动风险。
This conclusion is proved in the volatility spillover effect model.
这一结论在波动溢出效应模型中也得到了验证。
The paper constructs market confidence index and market activity index, and then analyzes the relations of these information variables and the volatility by dint of GARCH-M model.
在构建市场信心指数和市场活跃指数的基础上，借助于GARCH-M模型对市场的信息变量与波动性的关系进行研究。
The generalized autoregressive conditional heteroscedasticity (GARCH) model has the ability to describe the volatility of time series.
广义自回归条件异方差(GARCH)模型具有描述时间序列波动性的能力。
We propose a simple econometric model, which can reflect both a firm's earnings-generating ability and the earnings volatility.
本文提出了一个既能够反映公司赢利能力又可以反映赢利波动率的公司盈亏模型。
As to the ability for explanatory power of short-term interest rate and that for capturing conditional volatility, there are remarkably differences among each model.
就模型对短期利率变化的解释能力和捕捉利率波动的能力而言，各模型也存在着显著的差异。
The relation between behavior of traders and stock market volatility is investigated based on the information asymmetric model on the Shanghai stock market.
本文基于信息非对称模型研究了上海股市的交易行为与股价波动的关系。
And the prediction precision of the mathematic model also increases as volatility of evaporation liquid decreases.
随着蒸发液体挥发性能的减弱，新建模型的预测精度增加。
Finally, it makes the asymmetric estimation with high-frequency data in a specific period, using the method of realized volatility and the line model.
最后，在一个具体的时间段采用高频数据对不对称性作出估计，我们应用已实现波动率的方法并用线形模型做出了估计。
Frequent volatility is a feature of stock market. Autoregressive Conditional Heteroscedasticity (ARCH) model is often used to forecast the variance of the benefit of financial capitals.
股票价格的频繁波动是股票市场最明显的特征之一，自回归条件异方差类模型可以很好地预测金融资产收益率的方差。
This paper is aiming at study the volatility and durative of the local and oversea copper futures market by the time series ARCH model.
本文主要利用金融时间序列arch模型研究国内外期铜市场的波动性及持续性。
Measurement and modeling of financial asset volatility is an important problem in financial theory and practice. Many ways exist to measure and model financial asset volatility.
金融资产波动率测量与建模是金融理论与实践中的一个重要课题，已经有了许多测量与建模方法。
It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China.
建立描述中国金融市场国债回购利率行为的随机波动利率期限结构模型。
This model has nonlinear drift, has significant mean-reverting effect, and the volatility is highly sensitive to interest level.
此模型的漂移项为非线性形式，具有显著的均值回复效应，且利率波动对利率水平极为敏感。
The paper applies GARCH model to forecast stock volatility in Chinese stock markets. The conclusion reveals that the model predicts well.
应用GARCH模型对我国股票波动率进行应用预测分析，结果表明模型对波动率进行了很好的预测。
Considering a financial market with risky stocks and riskless bond, we describe the stochastic model of stock prices with stochastic volatility.
在考虑一个带有股票和债券的金融市场后，本文提出了一个具随机波动率的股票价格的随机微分方程模型。
This paper simulates the volatility of Shanghai stock index by ARCH Models and the result shows that GARCH (1, 1) model is effective in the simulation of the volatility of Shanghai stock index.
利用ARCH类模型对上证指数的波动进行了拟合，结果表明GARCH（1，1）模型对上证指数波动具有较好的拟合效果。
News has also been unable to have an impact on the stock, price volatility is not the random walk model.
消息也已经无法对股票产生影响，股价的波动已经不是随机漫步模式。
The paper makes use of Granger causality test and GARCH model to tests the return spillover and volatility spillover effect.
本文将利用两步法的GARCH模型对股票市场和权证市场的均值溢出和波动溢出进行检验。
The paper makes use of Granger causality test and GARCH model to tests the return spillover and volatility spillover effect.
本文将利用两步法的GARCH模型对股票市场和权证市场的均值溢出和波动溢出进行检验。
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