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Risk Management in Environment Production and Economy Part 11

Tham khảo tài liệu 'risk management in environment production and economy part 11', kỹ thuật - công nghệ, cơ khí - chế tạo máy phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Market Risk Management with Stochastic Volatility Models 189 plots of yt - yt-1 versus yt-1. The raw data Nord Pool 3644 and EEX 2189 points are plotted in the upper part and a simulated data set 100 k points is plotted in the lower part of each plot. Interestingly the SV specification seems to mimic the general characteristic of the raw time series. Front Week Contract Scientific Model. Parallell Run Front Month Contract Scientific Model. Parallell Run Parameter values Scientific Model. Standard error Parameter values Scientific Model. Standard error e Mode Mean e Mode Mean a0 -0.3445300 -0.3453300 0.0363680 a0 -0.0988820 r -0.1009600 0.0222770 a1 0.1609800 0.1612400 0.0115440 a1 0.1534000 r 0.1518500 0.0154420 b0 0.9583000 0.9454000 0.0465370 b0 0.2070900 r 0.2071800 0.0344310 b1 b1 0.9567500 r 0.9570600 0.0061345 ci 0.9672900 0.9648300 0.0052904 c1 S1 0.3292400 0.3242200 0.0180660 s1 0.1167100 r 0.1169700 0.0084579 S2 0.1114500 0.1140200 0.0085650 s2 r 0.1366500 0.1366500 0.0329160 r1 0.0339180 0.0364510 0.0219700 r1 0.4152200 r 0.4163500 0.0920760 r2 r2 -0.2458700 -0.2458700 0.0961530 log sci_ mod_prior 3.5624832 x2 6 log sci_mod_prior 4.5115377 Z2 7 log stat _mod_prior 0 -3.32910 log stat_mod_prior 0 -10.26600 log stat _mod_likelih ood -4397.58339 0.13111 log stat_mod_likelihood -1907.22335 0.05298 log sci_ mod_posterior -4394.02091 log sci_mod_posterior -1902.71181 Front Month Contract Scientific Model. Parallell Run Front Month Contract Scientific Model. Parallell Run Parameter values Scientific Model. Standard Parameter values Scientific Model. St andard e Mode Mean error e Mode Mean deviation a0 -0.1179100 -0.1085800 0.0299480 a0 -0.1490200 r -0.1461100 0.0296170 a1 0.1038300 0.1127900 0.0150280 a1 0.1505900 r 0.1488200 0.0153380 b0 0.8209700 0.8358000 0.0226330 b0 0.4335400 r 0.4269000 0.0310010 b1 0.7949800 0.7997200 0.0068112 b1 0.9604900 r 0.9570500 0.0062079 ci c1 S1 0.2316000 r 0.2303400 0.0024430 s1 0.1273000 r 0.1322500 0.0086580 S2 s2 0.2673400 r