First, get the equity return's conditional standard volatility by GARCH model;
首先，利用GARCH模型求得权益收益的条件标准差；
Then we test the relation between expected returns and expected risk with the GARCH-M model.
然后，应用均值GARCH (GARCH - M)模型检验预期收益与预期风险的关系。
The results show that the GARCH model can be a good fit to the weekly return series of Shenzhen Stock Index.
结果表明，深证成指周收益率序列的波动性可以用GARCH模型进行很好的拟合。
For the univariate case, we discuss two kinds of dynamic models: GARCH type model and regime switching model.
对于单变量的情况，本文讨论了两种动态模型：GARCH类型模型和状态转换模型。
At present, the GARCH models are the most common use models in analyzing the return volatility of financial markets.
当前，用于研究金融市场收益率波动最为常用的是GARCH族模型。
The results show the method of calculation VaR of GARCH model is effective in risk management of China's stock market.
实证研究表明，GARCH模型的V aR计算方法对我国股市风险的管理有较好的效果。
The several GARCH models show that there is asymmetric and spillover effects and leverage effects between two markets.
GARCH类模型研究发现，两市波动性存在非对称性、溢出效应、杠杆效应。
To describe financial market volatility, the paper focuses on some mathematical models, including ARCH and GARCH models.
对刻画金融市场波动的相关模型进行描述，主要包括ARCH、GARCH类模型。
The repo rate of the national bond is analyzed and ARIMA and GARCH models related to the rate are established in this paper.
以国债回购利率为研究对象，分别建立ARIMA及GARCH模型，并比较这两种模型的预测能力。
The back test result shows that the GARCH-EVT model can also better predict the foreign exchange risk like describing share risk.
后验测试的结果表明，与股市风险的研究结果一样，GARCH-EVT模型能较好地预测单一外汇风险。
In the thesis, the methods of volatility research on open-end fund market are introduced firstly and GARCH models are well discussed.
本文首先回顾了开放式基金市场波动性研究的方法，详细讨论了GARCH类模型。
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。
GARCH and GARCH-M models imply that the volatility is weakening, and investors who used to be risk preference have become risk aversion.
GARCH和GARCH - M模型结论表明股市波动趋缓，投资者由风险偏好转为风险厌恶。
The estimation suggests that introducing GARCH, regime-switching and jump effect substantially improves the fitting degree of the spot rate models.
结果表明，引入GARCH、机制转换以及跳跃因子可大大地提高短期利率动态模型的拟合效果。
Future price model is introduced based on the model of EWMA and GARCH, which offers a new computing method for the determination of the future markets.
在EWMA和GARCH模型思想的基础上，提出基于GARCH - EWMA的期货价格预测模型，为期货市场合约价格的预测提供新的预测方法。
As to the estimating process of GARCH (1, 1) model, the author adopted Maximum Likelihood Estimation and BHHH algorithm to get unknown parameters' value.
至于GARCH(1,1)模型的估计过程，本文用最大似然估计法和BHHH算法求未知参数值。
High-level ARCH effect is certification in the BDI logarithm process by ARCH LM test, GARCH(1,1)model is used to eliminate the conditional heteroscedasticity.
通过ARCHLM检验认为BD I对数序列存在高阶ARCH效应，并用GARCH（1，1）模型消除残差序列的条件异方差性。
The study of asymmetry using GJR-GARCH and EGARCH models shows that there is an asymmetric effect in stock market and the leverage effect is distinct gradually.
GJR- GARCH模型对波动的非对称性研究发现，股市存在不对称性并且杠杆效应逐渐明显。
At present, GARCH type models have been employed to model these high frequency financial time series due to their ability to capture the dynamic characteristics.
近年来GARCH模型被广泛地用于对变动频率很高的金融时间序列建模，它能较好地抓住此类时间序列的动态特征。
Based on this conclusion, the authors set up an AR-GARCH model of issuing scale of national debt. This model has high accuracy and strong capacity of prediction.
据此基本结论建立的国债发行规模的AR - GARCH模型精度高，有很强的预测功能。
This paper conducts empirical study of the relationship between stock price and trading volume with the help of data of some stocks and asymmetric component GARCH-M.
利用个股数据资料和非对称成分GARCH-M模型对中国股票市场的量价关系进行了实证研究。
Then we integrate the Shanghai and Shenzhen stock composite prices index and give some analysis. Through comparison, we find GARCH(1,1)-GED model is better than others.
结合上证综指和深圳成指的日收益率序列进行实证分析，经比较GARCH（1，1）-GED拟合效果更佳。
Then the movement feature of the market is analyzed with the GARCH model, and whether the market return follows non-linear and leptokurtic heavy tail feature is validated.
文章还采用GARCH模型对市场的运行特征做了分析，对市场收益率是否服从非线性和尖峰胖尾的特征进行验证。
Then the movement feature of the market is analyzed with the GARCH model, and whether the market return follows non-linear and leptokurtic heavy tail feature is validated.
文章还采用GARCH模型对市场的运行特征做了分析，对市场收益率是否服从非线性和尖峰胖尾的特征进行验证。
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