simu-ai/garch_densities
收藏Hugging Face2025-10-16 更新2025-11-15 收录
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https://hf-mirror.com/datasets/simu-ai/garch_densities
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资源简介：
GARCH Densities数据集包含基于GJR-GARCH模型和Hansen skewed-t创新模拟的终端回报的逆CDF分位数。每个示例是一个元组(Θ, ti, x)，其中Θ代表模型参数，ti是到期步骤索引，x是给定概率p的512个分位数的向量。数据集用于期权定价和风险建模，并提供了模型参数的Sobol低差异序列采样。
The GARCH Densities dataset contains inverse-CDF quantiles of terminal returns simulated from GJR-GARCH models with Hansen skewed-t innovations. Each example is a tuple (Θ, ti, x), where Θ represents the model parameters, ti is the maturity step index, and x is a vector of 512 quantiles at given probabilities p. The dataset is used for option pricing and risk modeling and provides Sobol low-discrepancy sequence sampling of model parameters.
提供机构：
simu-ai
