基於CARR-OVMD-GRU模型的期貨原油價格波動性預測 ; Forecasting the Crude Oil Futures Prices Volatility Based on CARR-VMD-GRU Model
| العنوان: | 基於CARR-OVMD-GRU模型的期貨原油價格波動性預測 ; Forecasting the Crude Oil Futures Prices Volatility Based on CARR-VMD-GRU Model |
|---|---|
| المؤلفون: | 林朕陞, 周雨田, 范蓉蓉 |
| سنة النشر: | 2023 |
| المجموعة: | Tamkang University Institutional Repository (TKUIR) / 淡江大學機構典藏 |
| مصطلحات موضوعية: | 原油期貨價格, 波動性, CARR模型, VMD模型, GRU模型 |
| الوصف: | 原油價格波動的不確定性對全球經濟的生產與需求扮演重要的影響角色，因此了解原油價格的波動行為並做出更準確的預測至關重要。本文基於條件自回歸極差模型 (CARR)，結合變分模態分解 (VMD) 與參數優化的門控循環單元 (GRU)，提出了一個組合油價波動預測模型CARR-VMD-GRU。同時，將此模型應用到國際原油期貨市場的日度波動性預測中，以驗證其有效性。本文首先采用VMD算法將CARR模型在樣本內預測的殘差序列分解為一系列平穩分量，然後采用多層GRU網絡對各分量進行樣本外的多步預測，最後疊加CARR模型與各分量的預測值作為最終預測結果。實證結果表明CARR-VMD-GRU模型能顯著提升波動性的預測表現。 ; 中國現場統計研究會; 概率統計學會; 全國工業統計學教學研究會; 中國商業統計學會 ; 補正完畢 ; 國際 ; 北京市，中國大陸 ; TWN |
| نوع الوثيقة: | other/unknown material |
| اللغة: | Chinese |
| Relation: | 2023全國統計與數據科學聯合會議; 連結 https://jcsds2023.pku.edu.cn/; https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/124538 |
| الاتاحة: | https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/124538 |
| رقم الانضمام: | edsbas.FE50054C |
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