পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| এক্সপোনেনশিয়াল GARCH (EGARCH)× | Realized Volatility এবং HAR মডেল× | |
|---|---|---|
| ক্ষেত্র≠ | অর্থমিতি | অর্থায়ন |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 1991 | 2009 |
| প্রবর্তক≠ | Nelson | Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility) |
| ধরন≠ | Conditional volatility model (asymmetric GARCH variant) | Time-series regression of realized variance |
| মৌলিক উৎস≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. DOI ↗ |
| অপর নাম≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV |
| সম্পর্কিত≠ | 4 | 5 |
| সারসংক্ষেপ≠ | 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. | Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction. |
| ScholarGateডেটাসেট ↗ |
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