John Salvatier 的文章
随机波动率模型
- 17 六月 2022
Asset prices have time-varying volatility (variance of day over day returns). In some periods, returns are highly variable, while in others very stable. Stochastic volatility models model this with a latent volatility variable, modeled as a stochastic process. The following model is similar to the one described in the No-U-Turn Sampler paper, [Hoffman 和 Gelman, 2014].
随机波动率模型
- 17 六月 2022
资产价格具有时变波动性（日收益率的方差）。在某些时期，收益率变化很大，而在其他时期则非常稳定。随机波动率模型通过一个潜在的波动率变量来建模，该变量被建模为一个随机过程。以下模型类似于No-U-Turn Sampler论文中描述的模型，[Hoffman和Gelman，2014]。