قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| نموذج APARCH (Asymmetric Power ARCH): نمذجة مرنة للتقلبات للعوائد المالية× | نموذج آرتش الأسي (EGARCH)× | |
|---|---|---|
| المجال | الاقتصاد القياسي | الاقتصاد القياسي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 1993 | 1991 |
| صاحب الطريقة≠ | Ding, Granger & Engle | Nelson |
| النوع≠ | Conditional heteroscedasticity model | Conditional volatility model (asymmetric GARCH variant) |
| المصدر التأسيسي≠ | Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83–106. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| الأسماء البديلة | Asymmetric Power ARCH, Power ARCH, APGARCH, Asimetrik Güç ARCH | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| ذات صلة≠ | 3 | 4 |
| الملخص≠ | APARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformation of conditional volatility and an asymmetric response to positive and negative shocks. The model nests at least seven well-known ARCH-type specifications as special cases, making it a unifying framework for volatility modelling in financial econometrics. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
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