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Updated: Sep 13, 2025

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使用双变歇斯底里时间序列模型进行预测,包括不对称的波动性和动态相关性

Hong Thi Than1

  • 1Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City 700000, Vietnam.

Entropy (Basel, Switzerland)
|July 29, 2025
PubMed
概括

本研究引入了金融资产波动性的新模型,捕捉了不对称的波动性和不断变化的相关性. 它使用贝叶斯方法和对准确性进行后期测试来改进风险预测.

关键词:
马尔科夫连锁蒙特卡罗的蒙特卡罗是一个波动性中的不对称结构.学生的t分布是双变的这是歇斯底里症.边际预期缺口在抽样外预测.有风险的价值.

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