时间序列

回测收益

年化收益率

最大回撤

GARCH

[17971.66, 37028.33]

[4.110, 8.041]

[20.435, 27.548]

GJR-GARCH

[20229.00, 37767.96]

[4.660, 8.246]

[19.465, 26.971]

EGARCH

[18166.34, 38891.05]

[4.163, 8.335]

[20.777, 27.669]