قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| نموذج GARCH (التنبؤ بالتقلب)× | نموذج آرتش الأسي (EGARCH)× | |
|---|---|---|
| المجال | الاقتصاد القياسي | الاقتصاد القياسي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 1986 | 1991 |
| صاحب الطريقة≠ | Tim Bollerslev | Nelson |
| النوع≠ | Conditional volatility model | Conditional volatility model (asymmetric GARCH variant) |
| المصدر التأسيسي≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| الأسماء البديلة | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| ذات صلة≠ | 5 | 4 |
| الملخص≠ | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. | 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. |
| ScholarGateمجموعة البيانات ↗ |
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