关键词:均值回归;自相关;方差比率;单位根;ANST-GARCH模型 [gap=11117]Key words: Mean Reversion; Autocorrelation; Variance ratio; Unit root; ANST-GARCH Model
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② 方差比率(variance proportion) 2 ˆ 2 1 ( ) 1 ˆ ( ) t t y y T n t t t T S S v p y y n 其中 ˆ t y S 和 t y S 分别表示预测值和实际...
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方差平均值比率 variance-mean ratio
最小方差套期保值比率 MVHR
I支路功率方差比方法 I branch power variance ratio
支路功率方差比方法 I branch power variance ratio
局部方差均值比率 Local variance to mean ratio
因此,评估可由广义自回归条件异方差(GARCH模型),这可能使避险比率意味着出随时间变化。
Therefore, evaluation could be carried out by means of Generalized Autoregressive Conditional Heteroscedasticity (GARCH), which could make hedge ratio vary with time.
假定投资者是绝对的风险厌恶者,其保值的目的是为了将风险最小化,由此可以得到最小方差下的套期保值比率。
The assumption that investors are absolute risk aversion, its value is designed to minimize the risks, which can be minimum variance under the hedging rate.
假定投资者是绝对的风险厌恶者,其保值的目的是将风险最小化,由此得到最小方差下的套期保值比率。
Assume investors are absolute risk averter, and it is their aim to minimize its risk, and get hedge ratio under it.
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