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| Обобщена авторегресионна условна хетероскедастичност (GARCH)× | GJR-GARCH (Асиметричен GARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1986 | 1993 |
| Създател≠ | Tim Bollerslev | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) |
| Тип≠ | Conditional volatility model | Asymmetric conditional volatility model |
| Основополагащ източник≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ | Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI ↗ |
| Други названия | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) |
| Свързани | 5 | 5 |
| Резюме≠ | GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns. | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). |
| ScholarGateНабор от данни ↗ |
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