পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| BEKK-GARCH: বহুমাত্রিক শর্তাধীন অস্থিরতা মডেলিং× | GARCH মডেল (ভলাটিলিটি পূর্বাভাস)× | |
|---|---|---|
| ক্ষেত্র | অর্থমিতি | অর্থমিতি |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 1995 | 1986 |
| প্রবর্তক≠ | Robert Engle & Kenneth Kroner | Tim Bollerslev |
| ধরন≠ | Multivariate conditional volatility model | Conditional volatility model |
| মৌলিক উৎস≠ | Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| অপর নাম | BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| সম্পর্কিত≠ | 3 | 5 |
| সারসংক্ষেপ≠ | BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
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