| 1. | If the assumption fails , we say the model exhibits heteroskedasticity
如果这个假定不成立，我们说模型存在异方差性。 |
| 2. | " for methods of analyzing economic time series with time - varying volatility arch
所发明的“自动递减条件下的异方差性” |
| 3. | The model which has such kind of property is referred to as heteroscedastic regression model
扰动项具有异方差性的模型称为异方差模型。 |
| 4. | However in most economic phenomena , this kind of hypothesis is not necessary true . sometimes the disturbances vary with the observations . this is called heteroscedasticity
但在大多数经济现象中，这种假设不一定成立，有时扰动项u _ i的方差随观察值的不同而变化，这就是异方差性。 |
| 5. | The article analyses whether the theory of emh market can explain some phenomena on capital market . we provide some evidence for the non - normal , non - gaussian distribution , auto - correlation , non - linear and heteroskedasticity character of stock price
文章就有效市场假说( emh )对现实资本市场的解释能力进行了分析，发现我国股票市场的股价收益率序列具有非正态性、自相关性、非线性、异方差性等特点。 |
| 6. | Firstly , several methods are used to test if there is heteroscedasticity in the data . then some variance stabilizing transformation methods are applied to the data . finally , it is pointed out that the least squares fitting may be used to the transformed data
先用几种方法对数据是否具有异方差性进行检验，然后选择适当的方法进行变换，最后指出，可以通过对新模型作最小二乘拟合等方法，观察变换后的模型其数据的拟合程度，以确定模型的优劣。 |
| 7. | The third chapter " essay of emh on chinese stock market " tested the hypotheses for the emh on chinese stock market , presented that stock price and return rate variance and voiatiiity are not stable . the chapter provided some evidence for the non - - normai
第二章分析了有效市场理论产生的背景，就有效市场理论成立的基本假设进行了检验，提出股票价格收益是不稳定的随机序列，收益分布不是正态分布，股票价格收益表现出非性，序列自相关性，异方差性。 |
| 8. | The distributions studied are normal distribution , student - t distribution , skewed student - t distribution and general error distribution . besides this , considering the conditional heteroskedasticity of the time serial in financial market , apply the garch model into the estimation of var
在此基础上，研究了证券市场上时间序列收益率波动的条件异方差性，考虑中国证券市场的风险特征，将garch系列模型与var模型相结合，构造了基于不同分布条件下的var模型。 |
| 9. | The object of this thesis for a master ' s degree is to study the existence of seasonality effect in shanghai and shenzhen a - share market . we use the return data of a - share indices ranging from july 21st , 1997 to the end of year 2000 to study this effect by employing five different asymmetric garch - m models . before the garch analysis this paper studied the detail in very detail and find that the data is not much different from the index returns from developed market : it is fat tailed , with high kurtosis
本研究首先对选取的样本? ?中国的上海和深圳两个股票市场a -股综合指数1997年7月21日到2002年12月31日间1316个交易日的收益率的数据分别进行了深入的分析，发现沪深两市已经逐步趋于规范化，其指数收益率分布具有明显的尖峰、厚尾的特点；然后分别运用了ljung - boxq检验和增广的dick - fuller检验，发现所研究的两个市场的收益率都具有明显的自相关性，并且都是稳定序列；最后利用white异方差检验和arch性检验，证明了本文所研究的样本具有明显的异方差性和显著的arch效应，因此用自回归条件异方差模型来研究中国股市的季节效应非常合适。 |
| 10. | The sixth chapter " essay on the estimation of stock price model " briefly introduced evolution of chinese stock market , showed the abrupt change and discontinuity of chinese stock market return , estimated the three models on the shanghai security exchange comprehensive index , compared the result made by the three models ? the result showed that the figarch model is better in modelling the autocorrelation , heteroskedasticity and nonlinear characteristics of stock price than the others
建立了上证指数的arfima ， garchzjifigarchta刑种杖刑，并对模二解冰股票价格波动的囱相关性，异方差性和非线性市场的效果以及对价格的问归和预测效果作了比较，得出结论n a ch模型在解决这些问题上效果最好，二种模刑在价格问归和预测值上都存在一阶滞后问题。 |
