Further, ARMA-GJR-M model is obtained to reflect leverage effect of good and bad news on the volatility.
进一步还可以将其拓展为ARMA - GJR - M模型来反映金融中利空与利好消息对波动的不确定性。
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。
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。
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