若对角线元素不相等,是为条件异方差 (conditional heteroskedasticity)若非对角线元素不为0,是为自相关(autocorrelation) 即扰动项之间有相关关系 二、OLS的推导? ?
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自回归条件异方差 ARCH ; autoregressive conditional heteroscedasticity ; ARCH and GARCH
自回归条件异方差模型 ARCH ; Autoregressive Conditional Heteroskedasticity ; Autoregressive Conditional Heteroskedasticity Model
广义自回归条件异方差 GARCH ; General Autoregressive Conditional Heteroskedasticity ; DTGARCI-I
门限自回归条件异方差 TARCH
广义条件异方差模型 GARCH model
线性自回归条件异方差 LARCH
指数条件异方差 EGARCH
条件异方差自回归模型 AutoRegressive Conditional Heteroskedasticity
自回归条件异方差过程 Autoregressive conditional heteroskedastic process
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研究序约束条件下自回归条件异方差(ARCH)模型的统计推断。
This paper deals with the statistical inference of an autoregressive conditional heteroscedasticity (ARCH) model under restriction.
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。
The generalized autoregressive conditional heteroscedasticity (GARCH) model has the ability to describe the volatility of time series.
模型的跨度为一年的样本外条件异方差预测,显示出该年末汇率的震荡,与实际情况一致。
Out-of-sample volatility prediction performance of one year confirms the actual higher volatility in the end of the year.
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