پایان نامه ارشد درمورد صنعت سیمان

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(5.2-) (8.1-) (15.2) (1.1)
σ_t^2=-.001+0.06ε_(t-1)^2+0.93σ_(t-1)^2
(125.1) (10.4) (3.9)

t
y_t=-.001+0.91y_(t-1)-0.57u_(t-1)-0.26u_(t-2)
(6.6-) (9.3-) (17.6) (0.65)
σ_t^2=-.001+0.18ε_(t-1)^2+0.84σ_(t-1)^2
(34.07) (4.9) (1.9)

GED
y_t=.001+0.9y_(t-1)-0.57u_(t-1)-0.23u_(t-2)
(6.7-) (9.9-) (18.1) (2.1)
σ_t^2=.001+0.11ε_(t-1)^2+0.87σ_(t-1)^2
(40.1) (4.8) (1.81)
GARCH-M
نرمال
y_t=.001+0.89y_(t-1)-0.55u_(t-1)-0.23u_(t-2)+0.03σ
(0.23) (4.99-) (7.5-) (13.7) (0.36)
σ_t^2=.001+0.06ε_(t-1)^2+0.93σ_(t-1)^2
(126.9) (10.6) (3.9)

t
y_t=-.01+0.12y_(t-1)+0.22u_(t-1)+0.04u_(t-2)+0.16σ
(2.35) (0.05) (1.1) (0.6) (2.4)
σ_t^2=.001+0.21ε_(t-1)^2+0.82σ_(t-1)^2
(31.8) (5.06) (2.2)

GED
y_t=-.02+0.05y_(t-1)+0.26u_(t-1)+0.03u_(t-2)+0.15σ
(2.29) (0.41) (1.3) (0.25) (3.1-)
σ_t^2=.001+0.17ε_(t-1)^2+0.82σ_(t-1)^2
(26.9) (4.6) (2.95)
EGARCH
نرمال
y_t=.001-0.85y_(t-1)+1.2u_(t-1)+0.28u_(t-2)
(5.1) (9.8) (7.1-) (2.1)
〖lnσ〗_t^2=-.26+0.07|ε_(t-1)/σ_(t-1) |+0.06 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(244.4) (8.5) (5.6) (5.7-)

t
y_t=-.001-0.8y_(t-1)+1.44u_(t-1)+0.26u_(t-2)
(4.2) (7.4) (5.3-) (0.4-)
〖lnσ〗_t^2=-.34+0.22|ε_(t-1)/σ_(t-1) |+0.05 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(116.4) (2.6) (5.7) (3.9-)

GED
y_t=-.001-0.75y_(t-1)+1.09u_(t-1)+0.25u_(t-2)
(3.9) (6.3) (4.4-) (2.2-)
〖lnσ〗_t^2=-.34+0.16|ε_(t-1)/σ_(t-1) |+0.06 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(108.1) (2.7) (5.1) (3.6-)
EGARCH-M
نرمال
y_t=-.001-0.98y_(t-1)+1.29u_(t-1)+0.29u_(t-2)+0.4σ
(3.5) (11.1) (48.4) (209.3-) (3.2-)
〖lnσ〗_t^2=-.73+0.19|ε_(t-1)/σ_(t-1) |+0.07 ε_(t-1)/σ_(t-1) +0.93lnσ_(t-1)^2
(83.9) (5.3) (6.9) (6.4-)

t
y_t=-.01+0.08y_(t-1)+0.26u_(t-1)+0.01u_(t-2)+0.18σ
(2.7) (0.18) (1.3) (0.37) (2.7-)
〖lnσ〗_t^2=-.35+0.24|ε_(t-1)/σ_(t-1) |+0.06 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(117.9) (2.8) (6.1) (3.9-)

GED
y_t=-.02-0.78y_(t-1)+1.08u_(t-1)+0.23u_(t-2)+0.25σ
(3.6) (4.1) (7.3) (5.3-) (4.4-)
〖lnσ〗_t^2=-.45+0.21|ε_(t-1)/σ_(t-1) |+0.07 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(87.2) (2.9) (5.3) (3.1-)
IGARCH
نرمال
y_t=.001+0.79y_(t-1)-0.47u_(t-1)-0.23u_(t-2)
(11.7-) (18.1-) (34.5) (2.5)
σ_t^2=0.01ε_(t-1)^2+0.99σ_(t-1)^2
(344.8) (174.4)

t
y_t=.001+0.91y_(t-1)-0.57u_(t-1)-0.26u_(t-2)
(6.37-) (9.3-) (17.3) (0.39)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(14.3) (10.7)

GED
y_t=-.001+0.89y_(t-1)-0.56u_(t-1)-0.23u_(t-2)
(6.9-) (9.9-) (18.1) (2.2-)
σ_t^2=0.06ε_(t-1)^2+0.94σ_(t-1)^2
(146.1) (9.4)
IGARCH-M
نرمال
y_t=-.001+0.25y_(t-1)+0.06u_(t-1)-0.05u_(t-2)+1.1σ
(24.1) (2.11-) (2.9) (16.8) (13.4-)
σ_t^2=0.01ε_(t-1)^2+0.99σ_(t-1)^2
(2190.7) (2.1)

t
y_t=.001+0.90y_(t-1)-0.56u_(t-1)-0.25u_(t-2)+0.07σ
(0.86) (6.24-) (8.06-) (13.9) (1.01-)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(105.5) (8.9)

GED
y_t=-.01+0.88y_(t-1)-0.55u_(t-1)-0.22u_(t-2)+0.06σ
(0.82) (6.1-) (8.1-) (14.1) (2.1-)
σ_t^2=0.06ε_(t-1)^2+0.94σ_(t-1)^2
(146.4) (9.4)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت قندوشکر
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.002+0.38y_(t-1)
(12.5) (3.19)
σ_t^2=.001+0.05ε_(t-1)^2+0.94σ_(t-1)^2
(330.1) (14.5) (14.9)

t
y_t=.001+0.45y_(t-1)
(17.5) (1.5)
σ_t^2=.001+0.51ε_(t-1)^2+0.68σ_(t-1)^2
(20.4) (5.1) (3.4)

GED
y_t=.001+0.49y_(t-1)
(23.7) (0.48)
σ_t^2=.001+0.43ε_(t-1)^2+0.65σ_(t-1)^2
(16.1) (5.9) (4.9)
GARCH-M
نرمال
y_t=.004+0.38y_(t-1)-0.22σ
(1.93-) (12.5) (3.3)
σ_t^2=.001+0.04ε_(t-1)^2+0.94σ_(t-1)^2
(320.6) (13.5) (13.23)

t
y_t=.001+0.45y_(t-1)-0.04σ
(0.99-) (1.67) (17.8)
σ_t^2=.001+0.51ε_(t-1)^2+0.67σ_(t-1)^2
(20.4) (5.1) (3.4)

GED
y_t=.001+0.49y_(t-1)-0.03σ
(0.5-) (23.3) (0.73)
σ_t^2=.001+0.44ε_(t-1)^2+0.64σ_(t-1)^2
(15.57) (5.8) (4.9)
EGARCH
نرمال
y_t=.002+0.37y_(t-1)
(15.6) (3.8)
〖lnσ〗_t^2=-.08+0.03|ε_(t-1)/σ_(t-1) |+0.05 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(1014.4) (15.3) (8.6) (8.5-)

t
y_t=.001+0.44y_(t-1)
(19.2) (1.76)
〖lnσ〗_t^2=-.42+0.28|ε_(t-1)/σ_(t-1) |-0.03 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(109.2) (1.15-) (6.75) (4.7-)

GED
y_t=.001+0.48y_(t-1)
(24.1) (0.85)
〖lnσ〗_t^2=-.44+0.21|ε_(t-1)/σ_(t-1) |+0.001 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(140.1) (0.02) (6.7) (6.3-)
EGARCH-M
نرمال
y_t=.003+0.37y_(t-1)-0.04σ
(0.32-) (15.1) (2.1)
〖lnσ〗_t^2=-.09+0.03|ε_(t-1)/σ_(t-1) |+0.04 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(407.8) (15.1) (8.5) (4.1-)

t
y_t=.001+0.44y_(t-1)-0.08σ
(1.65-) (19.3) (2.1)
〖lnσ〗_t^2=-.42+0.28|ε_(t-1)/σ_(t-1) |-0.04 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(104.3) (1.6-) (6.6) (4.6-)

GED
y_t=.001+0.48y_(t-1)-0.05σ
(1.1-) (24.1) (1.4)
〖lnσ〗_t^2=-.43+0.21|ε_(t-1)/σ_(t-1) |-0.003 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(137.6) (0.14-) (6.6) (6.3-)
IGARCH
نرمال
y_t=.003+0.38y_(t-1)
(15.3) (4.8)
σ_t^2=0.01〖5ε〗_(t-1)^2+0.985σ_(t-1)^2
(1847.1) (28.5)

t
y_t=.001+0.43y_(t-1)
(19.8) (1.7)
σ_t^2=0.14ε_(t-1)^2+0.86σ_(t-1)^2
(83.9) (12.9)

GED
y_t=.001+0.49y_(t-1)
(26.6) (0.82)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(170.6) (13.9)
IGARCH-M
نرمال
y_t=.006+0.37y_(t-1)-0.31σ
(3.6-) (14.9) (11.6)
σ_t^2=0.017ε_(t-1)^2+0.983σ_(t-1)^2
(1291.1) (22.3)

t
y_t=.001+0.41y_(t-1)-0.008σ
(0.16-) (16.2) (3.6)
σ_t^2=0.13ε_(t-1)^2+0.87σ_(t-1)^2
(112.7) (17.03)

GED
y_t=.001+0.48y_(t-1)-0.01σ
(0.36-) (26.4) (0.98)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(170.1) (13.0)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت سیمان
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.001+0.9y_(t-1)-0.45u_(t-1)-0.22u_(t-2)-0.03u_(t-3)
(0.81-) (5.4-) (9.6-) (26.3) (0.64)
σ_t^2=.001+0.21ε_(t-1)^2+0.77σ_(t-1)^2
(48.4) (10.7) (7.89)

t
y_t=-.01+0.87y_(t-1)-0.4u_(t-1)-0.19u_(t-2)-0.08u_(t-3)
(2.2-) (4.6-) (6.8-) (17.4) (1.5-)
σ_t^2=.001+0.28ε_(t-1)^2+0.79σ_(t-1)^2
(28.9) (4.8) (2.6)

GED
y_t=-.01+0.84y_(t-1)-0.36u_(t-1)-0.17u_(t-2)-0.05u_(t-3)
(1.08-) (4.4-) (6.3-) (16.9) (2.2-)
σ_t^2=.001+0.25ε_(t-1)^2+0.77σ_(t-1)^2
(25.3) (5.6) (3.1)
GARCH-M
نرمال
y_t=.01+0.9y_(t-1)-0.45u_(t-1)-0.22u_(t-2)-0.03u_(t-3)-0.03σ
(0.2-) (0.8-) (5.4-) (9.8-) (26.1) (0.6)
σ_t^2=.001+0.22ε_(t-1)^2+0.77σ_(t-1)^2
(48.1) (10.6) (7.4)

t
y_t=-.01+0.87y_(t-1)-0.4u_(t-1)-0.19u_(t-2)-0.08u_(t-3)-0.01σ
(0.6-) (2.1-) (4.5-) (6.6-) (16.4) (1.5-)
σ_t^2=.001+0.28ε_(t-1)^2+0.79σ_(t-1)^2
(28.9) (4.8) (2.6)

GED
y_t=-.01+0.84y_(t-1)-0.35u_(t-1)-0.17u_(t-2)-0.05u_(t-3)-0.06σ
(0.87-) (1.66-) (4.5-) (6.2-) (16.7) (1.7-)
σ_t^2=.001+0.24ε_(t-1)^2+0.74σ_(t-1)^2
(35.7) (5.6) (3.1)
EGARCH
نرمال
y_t=.01+0.93y_(t-1)-0.49u_(t-1)-0.22u_(t-2)-0.07u_(t-3)
(2.1-) (6.1-) (13.1-) (35.6) (1.4)
〖lnσ〗_t^2=-.77+0.29|ε_(t-1)/σ_(t-1) |+0.11 ε_(t-1)/σ_(t-1) +0.94lnσ_(t-1)^2
(161.1) (7.5) (12.6) (11.1-)

t
y_t=-.01+0.9y_(t-1)-0.43u_(t-1)-0.18u_(t-2)-0.1u_(t-3)
(3.1-) (5.1-) (9.1-) (23.7) (0.3-)
〖lnσ〗_t^2=-.24+0.2|ε_(t-1)/σ_(t-1) |+0.12 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(213.9) (5.2) (6.1) (4.5-)

GED
y_t=-.01+0.85y_(t-1)-0.38u_(t-1)-0.16u_(t-2)-0.06u_(t-3)
(2.1-) (4.5-) (7.1-) (18.2) (0.9-)
〖lnσ〗_t^2=-.45+0.25|ε_(t-1)/σ_(t-1) |+0.11 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(128.5)

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