conditional adj. 1.带有条件的,有限制的;视…而定的。 2.【语法】条件的,假设的。 3.引起条件反射的。 n. 【语法】条件子句,条件词。 be conditional on [upon] 在…条件下,以…为条件,取决于。 n. -ity 受限制性,有条件性,制约性;条件限制。 adv. -ly
variance n. 1.变化,变动,变更;变度,变量;【统计】(平)方(偏)差。 2.(意见等的)相异;不和,冲突,争论。 3.【法律】诉状和供词的不符。 at variance with 和…不和;和…不符 (at variance with the facts 不符事实。His conduct is at variance with his words. 他言行不符)。 set at variance 使不睦,离间。
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。
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。
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。
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。
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。
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
百科解释
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.