sitmo/garch_densities
收藏Hugging Face2025-10-16 更新2025-10-25 收录
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https://hf-mirror.com/datasets/sitmo/garch_densities
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资源简介：
GARCH Densities数据集包含了使用GJR-GARCH模型和Hansen skewed-t innovations进行的模拟，用于期权定价和风险建模。每个样本是一个元组(Θ, ti, x)，其中Θ代表模型的参数，ti是到期步骤索引，x是512个分位数向量。该数据集适用于期权定价、风险度量、神经网络学习回报分布以及GARCH实现的验证和基准测试。
The GARCH Densities dataset contains simulations using the GJR-GARCH model with Hansen skewed-t innovations for option pricing and risk modeling. 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. The dataset is suitable for option pricing, risk metrics, neural network learning of return distributions, and validation/benchmarking of GARCH implementations.
提供机构：
sitmo
