Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модел EGARCH (Експоненциален GARCH)× | DCC-GARCH модел (динамична условна корелация)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1991 | 2002 |
| Създател≠ | Daniel B. Nelson | Robert F. Engle |
| Тип≠ | Volatility / conditional variance model | Multivariate volatility model |
| Основополагащ източник≠ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. DOI ↗ |
| Други названия | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH | DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC |
| Свързани≠ | 6 | 5 |
| Резюме≠ | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. | The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series. |
| ScholarGateНабор от данни ↗ |
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