pffs15_Shapiro_Anderson_normaltest_skewness_Sortino_Bartlett_homoskedasticity_heteroskedasticity

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已于 2023-06-19 05:09:27 修改

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分类专栏： pythonForFinance2 文章标签： python

于 2022-12-17 05:26:01 首次发布

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在金融领域，风险通常由价格的不确定性（即波动率）来定义。标准差是衡量波动性的传统方法，但其忽略了正负偏离的不对称性。Sortino比率提出较低部分标准差来解决这一问题。此外，假定波动率恒定并不现实，实际中存在波动率聚集现象。为了模型这种模式，发展了ARCH和GARCH过程。本章涵盖了标准差、正态性测试、脂肪尾部、Sortino比率、两个时期波动率等效性测试以及异方差性测试等内容。

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In finance, we know that risk is defined as uncertainty since we are unable to predict the future more accurately. Based on the assumption that prices follow a lognormal distribution and returns follow a normal distribution, we could define risk as standard deviation or variance of the returns of a security. We call this our conventional definition of volatility (uncertainty). Since a normal distribution is symmetric, it will treat a positive deviation from a mean in the same manner as