Besides, GARCH model could solve the problem of the clustered rate of return.

对于收益率簇集性的特点，GARCH模型很好得解决了这个问题。

Finally, this paper USES GARCH model regressing the portfolio return time series.

文章最后用GARCH模型对组合收益率时间序列进行了模拟。

Secondly, we estimated volutation used GARCH(1,1) considering the return rate fluctuation.

然后考虑到收益率波动的时变性，用GARCH（1，1）模型来估计波动率。

Then we test the relation between expected returns and expected risk with the GARCH-M model.

然后，应用均值GARCH (GARCH - M)模型检验预期收益与预期风险的关系。

The results show that the GARCH model can be a good fit to the weekly return series of Shenzhen Stock Index.

结果表明，深证成指周收益率序列的波动性可以用GARCH模型进行很好的拟合。

For the univariate case, we discuss two kinds of dynamic models: GARCH type model and regime switching model.

对于单变量的情况，本文讨论了两种动态模型：GARCH类型模型和状态转换模型。

At present, the GARCH models are the most common use models in analyzing the return volatility of financial markets.

当前，用于研究金融市场收益率波动最为常用的是GARCH族模型。

The results show the method of calculation VaR of GARCH model is effective in risk management of China's stock market.

实证研究表明，GARCH模型的V aR计算方法对我国股市风险的管理有较好的效果。

The several GARCH models show that there is asymmetric and spillover effects and leverage effects between two markets.

GARCH类模型研究发现，两市波动性存在非对称性、溢出效应、杠杆效应。

The repo rate of the national bond is analyzed and ARIMA and GARCH models related to the rate are established in this paper.

以国债回购利率为研究对象，分别建立ARIMA及GARCH模型，并比较这两种模型的预测能力。

The paper makes use of Granger causality test and GARCH model to tests the return spillover and volatility spillover effect.

本文将利用两步法的GARCH模型对股票市场和权证市场的均值溢出和波动溢出进行检验。

Out-of-sample returns and risks in other sections show that portfolio hedging MS-DCC-GARCH model used by bank has better performance.

外显示样品返回和在其他章节的风险投资组合对冲的MS -催化裂解- GARCH模型的银行具有更好的性能使用。

In the thesis, the methods of volatility research on open-end fund market are introduced firstly and GARCH models are well discussed.

本文首先回顾了开放式基金市场波动性研究的方法，详细讨论了GARCH类模型。

The generalized autoregressive conditional heteroscedasticity (GARCH) model has the ability to describe the volatility of time series.

广义自回归条件异方差(GARCH)模型具有描述时间序列波动性的能力。

To verify hedging statistic significance, this paper USES DM test to know which kind of GARCH model is the best hedging model for Banks.

为了验证对冲统计学意义，本文采用德国马克测试知道哪个GARCH模型，就是最好的避险模型银行。

GARCH and GARCH-M models imply that the volatility is weakening, and investors who used to be risk preference have become risk aversion.

GARCH和GARCH - M模型结论表明股市波动趋缓，投资者由风险偏好转为风险厌恶。

The paper applies GARCH model to forecast stock volatility in Chinese stock markets. The conclusion reveals that the model predicts well.

应用GARCH模型对我国股票波动率进行应用预测分析，结果表明模型对波动率进行了很好的预测。

These two types of models have different characters and lots of expanding models, such as GARCH-type models, heavy-tail SV models and so on.

这两类模型都有各自的特点而且还存在众多的扩展模型，例如GARCH类模型和厚尾s V模型等。

Therefore, from Table 11 we know that bank enjoys better hedging performance while using portfolio hedging MS-DCC-GARCH model but not others.

因此，从表11我们知道，银行享有更好的性能，同时利用组合套期保值对冲的MS -催化裂解- GARCH模型而不是其他人。

Future price model is introduced based on the model of EWMA and GARCH, which offers a new computing method for the determination of the future markets.

在EWMA和GARCH模型思想的基础上，提出基于GARCH - EWMA的期货价格预测模型，为期货市场合约价格的预测提供新的预测方法。

Then we use statistics test and GARCH models to explain the spillover effect of the futures to index, and it is the most important part of the research.

其次利用GARCH模型探讨和刻画了期货市场封现货市场的溢出效应，最后得出了相关的结论。

As to the estimating process of GARCH (1, 1) model, the author adopted Maximum Likelihood Estimation and BHHH algorithm to get unknown parameters' value.

至于GARCH(1,1)模型的估计过程，本文用最大似然估计法和BHHH算法求未知参数值。

High-level ARCH effect is certification in the BDI logarithm process by ARCH LM test, GARCH(1,1)model is used to eliminate the conditional heteroscedasticity.

通过ARCH LM检验认为BD I对数序列存在高阶ARCH效应，并用GARCH（1，1）模型消除残差序列的条件异方差性。

The study of asymmetry using GJR-GARCH and EGARCH models shows that there is an asymmetric effect in stock market and the leverage effect is distinct gradually.

GJR - GARCH模型对波动的非对称性研究发现，股市存在不对称性并且杠杆效应逐渐明显。

At present, GARCH type models have been employed to model these high frequency financial time series due to their ability to capture the dynamic characteristics.

近年来GARCH模型被广泛地用于对变动频率很高的金融时间序列建模，它能较好地抓住此类时间序列的动态特征。

Based on this conclusion, the authors set up an AR-GARCH model of issuing scale of national debt. This model has high accuracy and strong capacity of prediction.

据此基本结论建立的国债发行规模的AR - GARCH模型精度高，有很强的预测功能。

By the GARCH (1, 1) model, we verifies that the Chinese futures market doesn't reach the stage of weak market efficiency until now, which proves to be of high risk.

通过GARCH(1, 1)的市场有效性检验，论证了中国期货市场尚未达到弱式有效，市场风险较大。