The second chapter of the thesis is to summarize and expand the financial volatility models.
第二章总结和扩展已有的金融波动模型。
The Stochastic Volatility models (SV model) is a kind of time series model which can reflect fluctuation that can not be observed directly.
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。
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.
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。
In this paper, we extended the basic stochastic volatility models to a stochastic volatility models with ARMA (1, 1) conditional heteroskedasticity and correlated errors.
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。
Moreover, a comparison of volatility models after considering the factor of structural breaks reveals that the models can describe the feature of volatility more rigorously.
将结构突变因素加入波动率模型进行比较后，可以发现含结构突变的波动率模型能更准确地刻画波动率特征。
But if all traders are trying to do the same, volatility will rise even further, well beyond the limits the models suggest.
但如果所有的交易员都做同一件事，波动性就会进一步增强，最后大大超过模型所预测的范围。
The existence of wildly different models takes away this intellectual anchor and this translates into more market volatility.
各种迥然不同的模型的存在，使我们丧失了这种理论锚定，这种情形将加剧市场的波动。
The volatility of financial markets may intensify the pain, since both brokers and hedge funds use models which lead them to sell assets when prices move down sharply.
金融市场的动荡也许会加深痛苦，这是由于当价格急剧下跌时，卷商及对冲基金所使用的模型会导致他们售出资产。
The breakdown of the models, which had been the only basis for pricing the more exotic types of security, turned risk into full-blown uncertainty (and thus extreme volatility).
这些模型曾是更多异类期权定价唯一标准，其崩溃使风险转变为完全的不确定性(因此波动性极大)。
Based on reading document widely, we summarize the development of stochastic volatility modeling from viewpoint of how to unite discrete data and continuous models.
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 Generalized Error Distribution, this paper analyses the stock profit and volatility in Shanghai stock market at different stages, using the family of GARCH models.
采用基于广义误差分布的GARCH类模型，对上海证券市场的收益和波动进行分阶段研究。
It is found that the SW-TGARCH models can better describe the volatility of the interest rate and provide a much lower level volatility persistence than GARCH models.
与ARCH类模型相比，SW - TGARCH模型能够更好地描述其波动性，并解决了GARCH模型高持续性及状态转移问题。
Then, it studies the characteristic of price volatility and risk in closed-end securities investment fund market by use of ARCH models.
然后，利用自回归条件异方差模型系统研究了我国封闭式基金市场的价格波动特性，分析了基金市场的风险特征。
Finally, through mathematical models and empirical analysis we will discuss the cost impact on trading volume and volatility in stock index futures market.
最后，通过建立数理模型、实证分析来说明交易成本对股指期货市场交易量和波动性的影响。
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。
This article has been selected nine categories of the industry stock index's return rate as the main subjects, using GARCH models to analysis the index's volatilITy of characteristics.
本文选取了九类行业指数的日收益率作为主要研究对象，运用GARCH族模型来对我国股票市场行业指数波动特性进行研究。
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。
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。
At the same time, to the volatility of copper yield rates characteristics, two types of models came to the same empirical results.
同时，对沪铜收益率的波动性特征，两类模型得出了相同的实证结果。
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。
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 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.
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。
Nowadays, most of the empirical studies and models concern average properties like expected returns, volatility, or correlations, and little attention has been given to the extreme movements.
目前，很多有关金融风险的研究都是针对均值、方差、相关性，很少有人关注极端的波动情况。
The SWARCH models outperform the ARCH models in the description and the forecast capability of the volatility significantly.
SWARCH模型较传统的ARCH类模型显著地提高了股票市场波动性的描述与预测能力。
There is a bewildering array of models to explain the volatility of exchange rates since the collapse of the Bretton Woods system in the early 1970s.
有一种扑朔迷离的数组模型来解释波动的汇率自崩溃的布雷顿森林体系在70年代初期。
Frequent volatility is a feature of stock market. ARCH models are 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。
Frequent volatility is a feature of stock market. ARCH models are 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。
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