摘要
为了研究水力发电量条件方差的变化规律及残差的统计分布特征,引入自回归条件异方差模型,建立基于正态分布假设的同阶自回归条件异方差模型对我国2001年1月到2016年2月的水力发电量进行实证分析,研究得出该模型对发电量的估计与预测具有良好的效果。
The regularity of conditional variance variation and the statistical distribution characteristic of residual error of hydropower generating capacity(hgc) in hydropower market are researched. On this basis, by means of leading in the generalized auto-regressive conditional heteroskedasticity (GARCH) model, a GARCH model based on the Normal distribution is proposed to research the variation regularity of HGC. Taking the actual data from HGC market in China as samples, both GARCH model and the proposed GARCH model are tested. The testing results show that the GARCH model can offer good estimation and forecasting results of HGC.
作者
卢维学
杨世娟
鲍志晖
LU Wei-xue YANG Shi-juan BAO Zhi-hui(College of Mathmatic and Statistics, Huangshan University, Huangshan, Anhui 245041, China)
出处
《安庆师范学院学报(自然科学版)》
2016年第4期19-22,共4页
Journal of Anqing Teachers College(Natural Science Edition)
基金
黄山学院自然科学研究项目(2015xkj004
2015xkj005)
安徽省教育厅科研项目(KJHS2016B04
KJ2011Z364)
关键词
自回归条件异方差
GARCH模型
水力发电量
正态分布
auto-regressive conditional heteroskedasticity
GARCH model
hydropower generating capacity(hgc)
normaldistribution