异方差线性模型 heteroscedastic linear model
- 文章给出了股票时间序列的线性模型和股票价格的自回归条件异方差模型(ARCH),发现GARCH族模型在一定程度上能够描述股价的波动情况。
This paper shows the linear model of time sequence and the ARCH model and finds that the GARCH model could describe the fluctuation of price in some degrees.