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异方差性
heteroscedasticity
- 如果这个假定不成立，我们说模型存在异方差性。
If the assumption fails, we say the model exhibits heteroskedasticity. - 自回归条件异方差(ARCH)模型适用于对具有群集性和方差时变性特点的经济类时间序列数据的回归分析和预测。
The ARCH model is expected to be able to analyze and forecast the time-series economic data which variance shows crowded and time-varied characteristics. - 特别是,在利用该期权合约对上证指数基金模拟套期保值时考虑到异方差性,本文将利用指数滑动平均模型来度量市场波动率,体现了“波动率微笑效应”,模拟结果达到了良好的效果。
Especially, when we consider conditional heteroscedasticity during the hedging simulation, we use the method of EWMA which represent the volatility smile and is often used in calculating the VAR.
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