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Autoregressive volatility (arv) model
| Словарь по экономике и эконометрике |
A time series model where the current volatility is fitted with its previous values.
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Volatility, английский
- The degree of price fluctuation for a given asset, rate, or index; usually expressed as a variance or standard deviation.
- A statistical measure of the tendency of a market price or yield to vary over time.
- Волатильность, относительная скорость, с которой цена перемещается вверх и вниз; мера степени изменений рыночной стоимости ценных бумаг, определяемая за период в 52 недели (12 месяцев) и измеряемая в процентах. для того чтобы измерить волатильность, нужно
- This property describes the degree and rate at which a liquid will vaporize under given conditions of temperature and pressure. when liquid stability changes, this property is often reduced in value.
- Относительная скорость, с которой цена перемещается вверх и вниз. вычисляется годовое среднеквадратичное отклонение ежедневного изменения цены.
- Property of having a low boiling point or temperature of sublimation at normal pressure. likewise, having a high vapor pressure at ambient conditions.
- A measure of risk based on the standard deviation of the asset return. volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option. there are volatility indexes. such as a scale of 1-9; a higher rating means higher risk.
- Нестабильность
- Describes how easily a substance will vaporize (turn into a gas or vapor).
- The property of a liquid that defines its evaporation characteristics. of two liquids, the more volatile will boil at a lower temperature and will evaporate faster when both liquids are at the same temperature. the volatility of petroleum products can be evaluated by tests for flash point, vapor pressure, distillation and evaporation rate.
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Causality tests, английский
A way to examine whether one series leads or lags another.
Autoregressive (ar) model, английский
A time series model where the current value of a series is fitted with its previous values.
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