分析发现随机波动模型对我国股市的预测能力明显强于ARCH类模型。
The analysis discovered that the forecasting ability of SV models is superior than ARCH models.
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。
The results indicated that in these two types of models, the EGARCH-M model and the leverage stochastic volatility model had better fitting results.
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。
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.
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。
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.
我们首先提出了一个带arma(1,1)条件异方差相关的随机波动模型，它是基本的随机波动模型的一个自然的推广。
In this paper, we extended the basic stochastic volatility models to a stochastic volatility models with ARMA (1, 1) conditional heteroskedasticity and correlated errors.
本文重点讨论了广义矩估计法、马尔可夫链蒙特卡罗方法和有效矩估计法这三种各具特点的随机波动模型的参数估计方法。
In this article, three estimation methods, GMM, MCMC and EMM are studied. GMM is one of the earliest methods used in SV model and its character is simple;
本文在广泛阅读文献的基础上，从如何把离散数据与连续模型相统一的角度，系统概括了随机波动建模问题的研究进展。
Based on reading document widely, we summarize the development of stochastic volatility modeling from viewpoint of how to unite discrete data and continuous models.
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。
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.
该文提出一种基于随机负荷波动的水轮机模型辨识方法，并应用于北京十三陵抽蓄电站。
An identification method based on random load fluctuation has been proposed in this paper and applied in Beijing Shi.
在总结了我国经济波动的典型事实后，本文构建了两个动态随机一般均衡模型作为分析的工具。
After the summarization of stylized facts of China's business fluctuations, two dynamic stochastic general equilibrium (DSGE for short hence force) models were established.
论文还从随机微分方程的角度比较和分析了两类波动模型之间存在的相互关系。
The dissertation also presents the ways of estimation and test of co-persistence relationship and compares two type of models by using the ways of stochastic differential equation.
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。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a 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。
This paper orders option prices under different well known martingale measures in an incomplete stochastic volatility model.
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。
Aimed at this case, this paper try to construct a simple stochastic volatility model - volatility following a finite Markov chain.
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。
In this paper we propose to a stochastic volatility model based on daily returns and intra-daily high-low price range jointly.
并给出一个资产管理中关于波动风险偏好的随机动态模型，推广了R。
It also creates a stochastic dynamic model about fluctuant risk preference in asset allocation, which extends the model of r.
采用传统灰色GM(1,1)模型预测道路交通事故这类随机性、波动性较大的数据，存在拟合较差、精度不足等问题。
Random and volatile data of road traffic accidents show poor fitness and low accuracy if forecast by means of the traditional grey model GM (1, 1).
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。
Considering a financial market with risky stocks and riskless bond, we describe the stochastic model of stock prices with stochastic volatility.
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 Stochastic Volatility models (SV model) is a kind of time series model which can reflect fluctuation that can not be observed directly.
文章构建了一个动态随机一般均衡的模型，从理论和实证两个方面分析了中国货币经济的波动问题。
This paper analyses China's monetary economic fluctuation theoretically and positively with a dynamic stochastic general equilibrium model.
这种模型不适合长期的、随机和波动性较大的数据序列预测。
This model is not suited to forecast the accidents in long term with randomness and great changed data.
以净现值法为基础，应用蒙特卡罗原理，提出了在石油产量和市场油价随机变动条件下石油勘探项目实物期权应用模型中不同阶段的波动率参数估算方法。
On the basis of traditional net present value method and Monte Carlo theory, a method for calculating the stage volatilities in the petroleum real option model was given.
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。
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.
特别地，这种模型的预测结果比其它随机波动性较大的数据到模型的预测结果精确得多。
Particularly, the obtained results are more precise than those by other models for data sequences with heaVy random fluctuation.
此外，在智能专家系统中考虑到油价和利率在特定范围内的随机波动，因而是一个符合实际的理想模型。
Furthermore, the fluctuation range of oil price and interest rate may also be taken into account. Therefore, the new model put forward in the paper is a comprehensive and applicable.
在此基础上利用随机波动类模型对两种收益率的波动性特征进行拟合，并对拟合优度进行分析。
Based on this we simulate the volatility features of the two kinds of yield rate time series and analyze their fitting results using the stochastic volatility models.
研究了负荷时间序列波动性，考虑方差时变特征，提出了基于随机波动（SV）模型的短期负荷预测方法。
The volatility of load time series is analyzed, and the short-term load forecasting based on SV(Stochastic Volatility) models is presented with the consideration of the time-varying characteristics.
并且以郑州市降雨量的预测作为实例，证明灰色马尔可夫预测模型对于随机波动性较大的数据列的预测具有较高的精度。
The example shows that the grey Markov prediction SCGM(1,1) model can have high prediction precision for the random and fluctuating data series.
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。
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。
Then ARCH model is well discussed and the stochastic volatility model is introduced.
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