Сравнение на методи

	Модел ARIMA (Autoregressive Integrated Moving Average)	Експоненциален GARCH (EGARCH)	Реализирана волатилност и моделът HAR
Област	Иконометрия	Иконометрия	Финанси
Семейство	Regression model	Regression model	Regression model
Година на възникване	2015	1991	2009
Създател	Box & Jenkins (Box-Jenkins methodology)	Nelson	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
Тип	Univariate time-series model	Conditional volatility model (asymmetric GARCH variant)	Time-series regression of realized variance
Основополагащ източник	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
Други названия	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
Свързани	5	4	5
Резюме	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	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.	Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction.