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关注：1
2013-05-23 12:21
求翻译：While the standard GARCH model was employed by Antoniou and Holmes (1995) as a means of testing for changes in volatility resulting from the onset of futures trading, this model is associated with the shortcoming that it assumes a symmetric response to news. In the presence of an asymmetric response to news the standar是什么意思？ 待解决
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- 离问题结束还有
While the standard GARCH model was employed by Antoniou and Holmes (1995) as a means of testing for changes in volatility resulting from the onset of futures trading, this model is associated with the shortcoming that it assumes a symmetric response to news. In the presence of an asymmetric response to news the standar
问题补充： |
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2013-05-23 12:21:38
虽然标准的GARCH模型是由安东尼奥和Holmes（1995）受聘为从期货交易开始波动带来的变化的测试手段，这种模式的缺点，它假定一个对称的响应新闻。标准的GARCH模型在不对称新闻的存在会导致不正确的推论，有关信息和波动性之间的关系misspecified的。这反过来又可能会导致不恰当的政策所得出的结论。在这种情况下，替代GARCH模型是必需的测试不对称，让好消息和坏消息对波动的影响之间的分化。一个成熟的经验强大的GARCH模型，它允许信息不对称反应是反光，贾甘纳坦和朗克尔（GJR（1993））3提出的模型。 GJR模型指定如下：
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2013-05-23 12:23:18
虽然《标准garch示范是受雇於安东尼奥和霍姆斯(1995)是测试的变化所造成的波动的期货交易开始,这一模式是相关的缺点,但它是对称消息。 在一个存在的不对称对新闻的标准garch misspecified示范将导致不正确的关系推论信息和波动。
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2013-05-23 12:24:58
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2013-05-23 12:26:38
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2013-05-23 12:28:18
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