| 1. | Finally , the realistic meaning of persistence character of conditional variances in finance analysis is discussed
最后讨论了条件方差持续性质在金融分析中的现实意义。 |
| 2. | The concept of arch , which stands for autoregressive heteroscedasticity , was first introduced by engle ( 1982 ) to handle time series with a changing conditional variance
具有自回归条件异方差( arch )的时间序列模型，首先是由engle ( 1982 )提出，这类模型在金融和经济领域有着广泛的应用。 |
| 3. | Based on the rvarma model , the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root
给出了基于“已实现”波动自回归移动平均模型的实证分析，指出当模型具有单位根时条件方差对资产定价的影响是持续的。 |
| 4. | Based on the rv - arma model , it is discussed that the persistence of conditional variances has a effect on capital asset pricing model ( capm ) from persistence viewpoint
在“已实现”波动自回归移动平均模型基础上，从条件方差持续性的角度，讨论了条件方差的持续性对资产资本定价模型的影响。 |
| 5. | The autoregressive conditional heteroskedastic ( arch ) class of models for conditional variances was put forward by engle ( 1982 ) proved to be extremely useful for analyzing economic time series . garch models have been developed to account for empirical regularities in financial data
Engle ( 1982 )提出的arch模型，对经济时间序列中的条件方差分析十分有用， arch模型可以很好地刻划金融数据。 |
| 6. | From results we know that correlation of return time series is not obvious , but correlation of the square time series of return , i . e . , variance time series , is clear . so we use garch model to estimate conditional variance , and calculated parameters in model by the way
应用相关性分析，得出了收益率序列之间不存在明显的序列相关性，而收益率平方序列存在显著的相关性，即方差序列存在相关性，因此我们使用g刁rch模型建模来估计条件方差，计算出了模型中的相应参数 |
