Cui’s Home:
A blog about me.
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Data Preprocessing(1)
Please follow the instructions below: 1) Import the required libraries2) Load the dataset3) Take care of the missing data (‘nan’ value): fill them with average value4) Encode the categorical variable: ① Encode the independent variable ② Encode the dependent variable5) Split train set and test set with parameters: test_size = 0.2, random_state = 06) Apply…
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Linear Algebra Review (1)
1.1 Vectors and matrices Linear Combination: A linear combination of a set of vectors is a sum of those vectors where each vector is multiplied by a scalar coefficient. Subspace: A subspace of a vector space is a subset of the space that is itself a vector space under the same addition and scalar multiplication…
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ARMA-GARCH-BEKK Model
In the past, I encountered problems related to the BEKK model when studying volatility models. Recently, I encountered similar problems again. Let me summarize what I have learned. I used “Introductory Econometrics For Finance” by Chris Brooks for my introduction. The order of my study was ARCH model → GARCH model → asymmetric GARCH model…
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