conditional adj. 1.帶有條件的,有限制的;視…而定的。 2.【語法】條件的,假設(shè)的。 3.引起條件反射的。 n. 【語法】條件子句,條件詞。 be conditional on [upon] 在…條件下,以…為條件,取決于。 n. -ity 受限制性,有條件性,制約性;條件限制。 adv. -ly
variance n. 1.變化,變動(dòng),變更;變度,變量;【統(tǒng)計(jì)】(平)方(偏)差。 2.(意見等的)相異;不和,沖突,爭論。 3.【法律】訴狀和供詞的不符。 at variance with 和…不和;和…不符 (at variance with the facts 不符事實(shí)。His conduct is at variance with his words. 他言行不符)。 set at variance 使不睦,離間。
Finally , the realistic meaning of persistence character of conditional variances in finance analysis is discussed 最后討論了條件方差持續(xù)性質(zhì)在金融分析中的現(xiàn)實(shí)意義。
The concept of arch , which stands for autoregressive heteroscedasticity , was first introduced by engle ( 1982 ) to handle time series with a changing conditional variance 具有自回歸條件異方差( arch )的時(shí)間序列模型,首先是由engle ( 1982 )提出,這類模型在金融和經(jīng)濟(jì)領(lǐng)域有著廣泛的應(yīng)用。
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 給出了基于“已實(shí)現(xiàn)”波動(dòng)自回歸移動(dòng)平均模型的實(shí)證分析,指出當(dāng)模型具有單位根時(shí)條件方差對(duì)資產(chǎn)定價(jià)的影響是持續(xù)的。
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“已實(shí)現(xiàn)”波動(dòng)自回歸移動(dòng)平均模型基礎(chǔ)上,從條件方差持續(xù)性的角度,討論了條件方差的持續(xù)性對(duì)資產(chǎn)資本定價(jià)模型的影響。
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,對(duì)經(jīng)濟(jì)時(shí)間序列中的條件方差分析十分有用, arch模型可以很好地刻劃金融數(shù)據(jù)。
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 應(yīng)用相關(guān)性分析,得出了收益率序列之間不存在明顯的序列相關(guān)性,而收益率平方序列存在顯著的相關(guān)性,即方差序列存在相關(guān)性,因此我們使用g刁rch模型建模來估計(jì)條件方差,計(jì)算出了模型中的相應(yīng)參數(shù)
百科解釋
In probability theory and statistics, a conditional variance is the variance of a conditional probability distribution. Particularly in econometrics, the conditional variance is also known as the scedastic function or skedastic function.