Л.Ганцоож - Алтны үнийн богино хугацааны прогноз, стохастик загварчлал
- 9. ADF Test Statistic
-21.77050
1% Critical Value*
-2.5703
5% Critical Value
-1.9402
10% Critical Value
-1.6160
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(DGOLD,2)
Method: Least Squares
Date: 05/29/10 Time: 00:59
Sample(adjusted): 1973:06 2010:03
Included observations: 9486 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(DGOLD(-1))
-2.380847
0.109361
-21.77050
0.0000
D(DGOLD(-1),2)
0.803371
0.079388
10.11962
0.0000
D(DGOLD(-2),2)
0.285714
0.045798
6.238609
0.0000
R-squared
0.940791
Mean dependent var
-0.047055
Adjusted R-squared
0.939610
S.D. dependent var
49.31727
S.E. of regression
25.16582
Akaike info criterion
9.295614
Sum squared resid
278026.7
Schwarz criterion
9.323383
Durbin-Watson stat
2.117979
Log likelihood
-2051.331
- 14.
(μ ) - áàéðëàë (measure location ),
(δ ) – øóãàìàí òýëýëò (scale),
(α ) – ñ¿¿ëèéí çóçààí (steepness of tail ),
(β ) – àññèìåòðèéí êîýôôèöèåíò (skewness of distribution ,and)
(λ ) - òàðõàëòûí àíãèéã (distribution class).
λ ∈R , μ ∈ R , δ ≥ 0, 0≤ β <α .
- 16.
NIG тархалт нь өргөтгөсөн гиперболлог (GH) тархалтын
тухайн тохиолдол
GH тархалтыг 1977 онд Barndorff-Nielsen
Ялгаатай параметрчлэлийн хувьд тархалтын хэлбэрийн
тухайд 1999 онд Prause
- 22. Levy-èéí çàõ çýýëä ýêâèâàëåíò
îëîí òºðëèéí ÿëãààòàé ìàðòèíãàë õýìæýýñ
áàéäãààñ õºíãºëòòýé àêòèâûí ¿íèéí ïðîöåññ íü ìàðòèíãàë áîëäîã.
MGF îðøèí áàéäàã ãýæ ¿çüå
- 24. Put-call îïöèîíä òàâèãääàã òýãø õýìèéí íºõöëèéã
Òîðãóóëèéí ïàðàìåòð á¿õèé áîäëîãî:
Heston, 1993
Scott, 1997
Carr áîëîí Madan, 1999
- 25. CF àøèãëàí ïàðàìåòð¿¿äèéã ¿íýëýâ:
,
2011 îíû 3-ð ñàðûí ñ¿¿ëýýð äóóñãàâàð áîëîõ call áà put ôþ÷åðñèéí îïöèîíû
ãýðýý, ýðñäýëã¿é õ¿¿ 0.5
1449=1587exp(-0.163),
1439
- 26. Хугацаа
Бодит утга
Trend
Regress
ARMA
СТОХАСТИК
2010.11
1342,2
1092,92
1112,12
1271,87
1334,5
2010.12
1369,89
1102,64
1121,19
1345,67
1354,32
2011.1
1425,00
1110,41
1200,1
1279,56
1409,26
2011.2
1435,02
1119,99
1187,19
1269,24
1418,71
2011.3
1449,21
1123,91
1271,42
1301,52
1439,05
2011.4
1129,12
1162,44
1304,76
1454,37
2011.5
1131,15
1269,1
1147,2
1464,09