Volatility persistence, which have been found in many of time series of economic and finance, indicates that the risk is dependent each other.
波动持续性是广泛存在于经济和金融时间序列的一类普遍现象。
The theory and method of modeling volatility persistence of time series is a powerful tool in analyzing the risk of economic and finance market.
时间序列的波动持续性建模理论和方法是经济金融领域风险分析的一种强有力的工具。
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。
In particular, it has been demonstrated that the conventional GARCH model can exaggerate volatility persistence compared to the (true) volatility process perceived by the market.
特别是，相对于被市场所发现的真实波动过程来说，传统的GARCH模型夸大了波动的持续性。
This dissertation studies the efficiency, volatility and persistence of financial markets.
本文主要研究金融市场的有效性、波动性和持续性。
The results of the study show that the DBMD models can capture the persistence of return volatility, and reveal the joint dynamic relations between price volatility and trading volume.
关于调整印花税对噪声收益波动性的影响，研究方法是方差齐次检验，结果是调整证券交易印花税对小组合的影响是显著的。
My results show that there are significantly volatility, excess kurtosis and heteroskedasticity, persistence and asymmetric effect in Chinese Stock Market.
实证结果表明：我国股价波动具有尖峰厚尾特征、异方差性特征和波动的持续性和非对称特征；
My results show that there are significantly volatility, excess kurtosis and heteroskedasticity, persistence and asymmetric effect in Chinese Stock Market.
实证结果表明：我国股价波动具有尖峰厚尾特征、异方差性特征和波动的持续性和非对称特征；
应用推荐