chow test meaning in English

识
邹检验
邹氏检验

We research the stability of the three - factor model by using chow test and research the coefficient stationary by using unit root test , and forecast the coefficient of the model using arma 、 garch model . the results show that the model is instability in the long run , most coefficient is non - stationary , and we can preferably forecast the coefficient by using the arma 、 garch model . in the process of designing strategic investment portfolios and the strategic risk budgeting prevailing in resently which in order to control investment risk , the investors generally structure their portfolios in different industries
模型回归系数是测度投资对象系统风险的重要指标,我们利用chow检验对证券收益三因素模型结构的稳定性进行了分析研究,用adf检验对模型的三个回归系数的稳定性进行了实证分析,采用arma和garch模型对回归系数的预测能力进行了研究,结果表明组合三因素模型结构不稳定,但短期比长期结构稳定性要高;大部分组合回归系数时序稳定性较差,同时arma和garch模型对每个回归系数时间序列进行预测显示有较好的预测能力。