arma-egarch算法-阿里云

ARMA-EGARCH模型、集成预测算法对SPX实际波动率进行预测

介绍本文比较了几个时间序列模型，以预测SP500指数的每日实际波动率。基准是SPX日收益序列的ARMA-EGARCH模型。将其与GARCH模型进行比较。最后，提出了集合预测算法。假设条件实际波动率是看不见的，因此我们只能对其进行估算。这也是波动率建模的难点。如果真实值未知，则很难...

R语言ARMA-EGARCH模型、集成预测算法对SPX实际波动率进行预测

介绍本文比较了几个时间序列模型，以预测SP 500指数的每日实际波动率。基准是SPX日收益系列的ARMA-EGARCH模型。将其与GARCH模型进行比较。最后，提出了集合预测算法。假设条件实际波动率是看不见的，因此我们只能对其进行估算。这也是波动率建模的难点。如果真实值未知，则很...

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更新时间 2024-04-30 18:14:27

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