قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| نموذج آرتش الأسي (EGARCH)× | اختبار جوهانسون للتكامل المشترك ونموذج تصحيح الخطأ المتجهي× | |
|---|---|---|
| المجال≠ | الاقتصاد القياسي | التمويل |
| العائلة | Regression model | Regression model |
| سنة النشأة | 1991 | 1991 |
| صاحب الطريقة≠ | Nelson | Søren Johansen |
| النوع≠ | Conditional volatility model (asymmetric GARCH variant) | Multivariate cointegration / vector error correction model |
| المصدر التأسيسي≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| الأسماء البديلة≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Johansen test, VECM, vector error correction model, multivariate cointegration |
| ذات صلة≠ | 4 | 3 |
| الملخص≠ | 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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