查询词典 volatility

Secondly the author summaries the research status of parametric estimation, forecasting volatility and model choice for stochastic volatility model.

其次，综述了随机波动模型在参数估计、波动滤波和预测、模型选择这三方面的研究进展情况。

The theatrical foundation of this paper is option pricing model. This paper focuses on the Black-Scholes model, details the basic postulation, principle and pricing formula. And it is pointed out that the postulation that volatility is constant can't reflect the varying market volatility. Violation of this postulation will lead to biased pricing results.

期权定价模型是本文分析的理论基础，文中以Black-Scholes模型为主，分析了期权定价模型的基本假设、原理与定价公式，指出波动率为常数的假设不能反映市场波动率的变化状况，对该假设的违背将使定价结果产生偏差，因此，波动率在期权定价中有重要的作用。

The general diffusion process can be obtained as a limiting case, so that we have a unified framework in understanding existing models in option pricing theory, including the geometric Brownian Motion, the model of Constant Elasticity of Varianc, the Residual Volatility and term structure of interest rates. Our model is capable of demonstrating volatility smile and stable relative deviation from real data.

我们建立的一般框架可以统一理解目前已经熟知的几何布朗运动、广义方差常弹性、残余波动率、利率的期限结构等理论模型，也能描写观察到的波动率微笑和稳定的相对偏差。

Based on such theoretic framework, we also derived some main properties of trading volume and volatility such as serial correlation of trading volume, ARCH effect, the relationship between trading volume and volatility and so on.

模型结果显示，在上述框架下，投资者的资产选择决策和资产的均衡价格均与冲量以及投资者对冲量的预期强度密切相关，表明历史交易信息对投资者的资产选择和市场均衡具有直接的影响。

In the empirical analysis part, statistical descriptions on the sample funds are made firstly, which show that the actual distribution of each sample fund"s daily net value return possesses the characteristic of leptokurtosis. So it is necessary to add student T distribution and GED to capture such leptokurtosis characteristic other than normal distribution. Secondly, ARCH test shows that there exists volatility clustering in each sample fund"s daily net value return, so GARCH related models should be used to describe such volatility clustering characteristic.

实证分析部分首先对样本基金进行统计描述，得出其收益序列均存在尖峰厚尾特征，不服从正态分布，因此有必要在下面的VaR计算中加入T分布和GED分布来捕捉这种尖峰厚尾特征；并且经ARCH检验后得出收益序列存在明显的波动聚集性的特征，因此可以选择GARCH类模型来描述这种特性，经过模型筛选，得出最适合我国开放式股票型基金的收益波动性模型为GARCH(1，1)模型。

The conclusion is that reducing or eliminating unnecessary' unpredictable and undescribable uncertainty' might be the best approach to manage the default risks of real estate mortgage and improve its allocating efficiency. This approach is also vital for judging the interactive relationship between price volatility of real estate market and financial market and macro-economy to prevent such volatility's impacts on the latter.

本文认为，减少或消除不必要的"不可预见和不可描述的不确定性"可能是管理房地产抵押贷款违约风险，提高贷款配置效率的最好途径，这对于分析房地产市场价格波动与金融市场、宏观经济的互动关系，防止房地产价格波动对金融业和宏观经济的冲击至关重要。

Based on the market microstructure theory, this paper firstly discusses how the different trading mechanisms decide the price and the relationship of the trading mechanism and the volatility of return. Then selecting the stocks synchronously listed in the market of Mainland China and Hong Kong as the sample, we empirically analyze the relationship of the trading mechanism and the volatility of return. After describing the originality variance ratio of the markets, this paper explains the outcome of the empirical and makes a GARCH (1, 1) model for further analyze.

本文以金融市场微观结构理论为基础，首先从理论上探讨了不同的交易机制对股票价格的确定过程，以及交易机制与股票价格波动性的关系问题；接着本文选用同在中国大陆和中国香港地区上市的公司股票每日的开盘和收盘价格为样本，分别以收益率的原始方差比和GARCH(1， 1)模型估计的方差比实证分析了交易机制与股价波动性的关系。

But what is the "volatility of volatility"?

但什么是"不稳定的波动"？

What is the "volatility of volatility"?

什么是"不稳定的波动"？

Yet, there is another "volatility of volatility" to consider.

然而，还有一个"不稳定的波动性"来考虑。

In the United States, chronic alcoholism and hepatitis C are the most common ones.

在美国，慢性酒精中毒，肝炎是最常见的。

If you have any questions, you can contact me anytime.

如果有任何问题，你可以随时联系我。