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| АРХ модел с променливи във времето параметри (TVP-ARCH)× | Модел EGARCH (Експоненциален GARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1980s–1990s | 1991 |
| Създател≠ | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature | Daniel B. Nelson |
| Тип≠ | Conditional heteroscedasticity model with time-varying coefficients | Volatility / conditional variance model |
| Основополагащ източник≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Други названия | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Свързани≠ | 5 | 6 |
| Резюме≠ | The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime. | 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. |
| ScholarGateНабор от данни ↗ |
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