搜索资源列表
RiskCalculator
- Simple VaR Calculator provides: - Evaluation of return distribution of single asset or portfolio of assets - Volatility forecasts using moving average and exponential algorithm - Value at Risk of single
MS-GARCH-model-of-MCMC
- 描述MCMC的MS（3）-GARCH模型的参数估计-MCMC method
garchestfor_con_all
- ms-garch model forcasting
MS_Regress_Fit1
- 通过matlab实现MS-GARCH的极大似然估计-likelihood of MS-GARCH model through matlab
MSM_MLE_1v01
- 基于马尔科夫转换多重分形预测模型，MSM模型具有较少的参数和无限的频率。该模型通过使用机制转换（regime switching）技术，能较好的捕捉金融时间序列波动中隐藏的离群值、时间标度以及长程相关性特征。Calvet和Fisher使用MSM模型对四种汇率序列进行预测，他们发现MSM模型的长期预测性能优于GARCH、MS-GARCH（Markov switching GARCH）、FIGARCH等模型，MSM模型适用于具有显著异常值和
markov garch
- 马尔科夫状态转换的GARCH类模型用matlab程序代码做实证 ms-garch(The GARCH model of Markov state transition is empirically done with matlab code ms-garch)