查询词典 volatility

At last, we continue to analyze the influence which the macroeconomic growth rate has on the volatility of the stock returns. We make the macroeconomic growth rate as an exogenous variable to add to the above iterated weighted volatility model. From the above analysis, we can draw a conclusion that the volatility of the stock returns of Chinese stock markets will strengthen in economic expansion period and weaken in economic recession period.

在此分析前提下，继续深入分析宏观经济增长率对股票市场收益率波动的影响，将宏观经济增长率作为外生杠杆变量加入到上面的迭代加权最小二乘法的条件波动率模型中，结论是我国股票市场收益在经济扩张期波动性减弱，而在衰退期波动性增强。

We use the data from BHP company in 1995-2001 and calculate the implied volatility. By comparing the implied volatility calculated from actual option price and the assumed volatility in the model, it is found that Black-Scholes Model does underprice the Out-of-The-Money options and overprice the In-The-Money options because of the wrong assumption on the volatility.

本文选择了澳大利亚BHP公司1995年-2001年其中五年的数据，从实际期权价格中计算得到隐含波动率，并把其与Black-Scholes模型中的假设波动率进行比较，最后可以发现，Black-Scholes模型低估了虚值期权的价格，高估了实值期权的价格，与一般的研究结果恰好相反。

There are many ways to apply the estimated volatility, one of which are volatility trading, trading strategy including pure volatility trading strategy and trend volatility trading strategy.

波动率估计的结果应用途径很多，其中之一便是进行波动率交易，具体的运用方法包含纯波动率交易策略与倾向型波动率交易策略等。

The volatility of Chinese stock market is investigated using the dynamic version of stochastic volatility model, and Bayesian analysis based on MCMC is introduced to improve the parameters estimation in stochastic volatility model.

采用动态随机波动性模型实证研究了中国股票市场的波动性。通过基于马尔可夫链蒙特卡罗模拟的贝叶斯分析方法，较好地估计了随机波动性模型中的参数与波动性序列。

In the DDMRS-GARCH model, the transition probability of the volatility state variable is not only related to the volatility state, but also to the duration of the volatility state.

在DDMRS-GARCH模型中，波动状态之间的转移概率不仅与波动所处的状态有关，而且与波动状态持续的时间有关。

In Chapter 2, we talk about the method and theory how to calculate the Volatility.

第二章是重点，主要讲Volatility的一般计算方法和理论。

This research used option-based structural model: Merton Model and the Implied Volatility Model which visualized an option on the firm's equity that expired before the debt mature was a compound option and was proposed by Hull, Nelken and White in 2004. Then compare the fitting and ranking ability in the model implied credit spread of the two structural model to the observed bond credit spread between corporate bond yield and bond yield in Taiwan's listed companies.

本研究运用选择权基础的信用风险模型：Merton(1974)模型与Hull， Nelken and White(2004)提出将个股选择权视为复合选择权的Implied Volatility模型，比较这两个结构式信用风险模型所计算出的隐含信用利差对台湾上市、柜公司之公司债殖利率与公债殖利率间实际的信用利差之配适能力与排序能力。

The empirical study in this article finds that all the implied volatility subsumes some information contained of the realized volatility, and the information contain of implied volatility is more than historical volatility.

本文的实证研究结果发现，所有的隐含波动度预测值皆包含未实现波动度一定程的资讯在内，资讯内涵也较历史波动度来的多。

Using Basket warrants transaction data on TSEC from September 4, 1997 to June 25, 2001, the combination of four volatility models classical history volatility,Parkinson's(1980 high, low history volatility model,Garman and Klass's(1980) high, low, opening, closing history volatility model,Trippi's(1977) equal weights implied volatility model with two pricing models Black and Sholes's(1973 option pricing model, henceforth BS pricing model,Chen and Cheng's(2000) basket option pricing model, henceforth CC pricing model are discussed on valuation performance to obtain superior basket warrant pricing model.

摘要本文利用1997年9月4日至2001年6月26日间在台湾证券交易所发行且已到期的组合型认购权证，使用四种波动性估计模型历史波动性模型，Parkinson(1980的最高，最低价历史波动性模型，Garman and Klass(1980)的最高，最低，开盘，收盘价历史波动性模型，Trippi(1977)的等加权平均隐含波动性模型与Black and Sholes(1973)选择权评价模式，陈松男与郑翔尹(2000)的组合型权证评价模式配对成八种评价模式，并比较其评价绩效，冀期能得到一较佳的组合型认购权证评价模式。

Using Basket warrants transaction data on TSEC from September 4, 1997 to June 25, 2001, the combination of five volatility models classical history volatility; Parkinson's(1980 high, low history volatility model; Garman and Klass's(1980) high, low, opening, closing history volatility model; Trippi's(1977) equal weights implied volatility model; Bollerslev's(1986)GARCH volatility model with two pricing models Black and Sholes's(1973 option pricing model, henceforth BS pricing model; Chen and Cheng's(2000) basket option pricing model, henceforth CC pricing model are discussed on valuation performance to obtain superior basket warrants pricing model.

本文利用1997年9月4日至2001年6月26日间在台湾证券交易所发行且已到期的组合型认购权证，使用五种波动性估计模型历史波动性模型、Parkinson(1980的最高、最低价历史波动性模型、Garman and Klass(1980)的最高、最低、开盘、收盘价历史波动性模型、Trippi(1977)的等加权平均隐含波动性模型、Bollerslev(1986)的GARCH波动性模型与Black and Sholes(1973)选择权评价模式、陈松男与郑翔尹(2000)的组合型认购权证评价模型(CC组合型认购权证评价模型)配对成十种评价模型，并比较其评价绩效，冀期能得到一较佳的组合型认购权证评价模型。

So that more consumers can enjoy more delicious quality, technology is even better than wine.

让更多的消费者可以品尝到品质更为鲜美，工艺更为精湛的葡萄酒。

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在你最喜爱的文本编辑器中将它打开。