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。
The paper examines the extent to which the conditional volatility of stock market returns in Chinese stock markets is related to the conditional volatility of financial and business cycle variables.
这篇论文目的是考察在中国股票市场中，股票市场收益率的条件波动率与宏观经济变量的条件波动率之间的相关程度。
This article USES data from Shanghai a type stock market and originally measures the conditional expectation of correlation risk and idiosyncratic volatility by DCC-MV GARCH model.
本文采用上海A股市场的月收益率数据，率先使用DCC - MV GARCH模型，刻画了时变的个股间预期条件相关性和个股的预期条件特质波动率。
应用推荐