পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| অ্যাচ-এলএম পরীক্ষা (ARCH-LM Test) অস্থিরতা ক্লাস্টারিংয়ের জন্য× | এক্সপোনেনশিয়াল GARCH (EGARCH)× | মার্কভ রিজিমি-সুইচিং মডেল (MS-AR / MS-VAR)× | |
|---|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model | Regression model |
| উদ্ভবের বছর≠ | 1982 | 1991 | 1989 |
| প্রবর্তক≠ | Robert F. Engle | Nelson | Hamilton (1989); Kim & Nelson (1999) |
| ধরন≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | Conditional volatility model (asymmetric GARCH variant) | Regime-switching time series model |
| মৌলিক উৎস≠ | 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 ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| অপর নাম≠ | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| সম্পর্কিত≠ | 6 | 4 | 5 |
| সারসংক্ষেপ≠ | The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. | 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. | The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. |
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