قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| نموذج آرتش الأسي (EGARCH)× | نموذج ماركوف للتبديل بين الأنظمة (MS-AR / MS-VAR)× | |
|---|---|---|
| المجال | الاقتصاد القياسي | الاقتصاد القياسي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 1991 | 1989 |
| صاحب الطريقة≠ | Nelson | Hamilton (1989); Kim & Nelson (1999) |
| النوع≠ | Conditional volatility model (asymmetric GARCH variant) | Regime-switching time series model |
| المصدر التأسيسي≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| الأسماء البديلة≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| ذات صلة≠ | 4 | 5 |
| 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 Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. |
| ScholarGateمجموعة البيانات ↗ |
|
|