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| Component GARCH× | GARCH-MIDAS× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1999 | 2012 |
| Autor original≠ | Engle and Lee | Engle and Ghysels |
| Tipus≠ | Decomposed variance model | Time-varying variance model |
| Font seminal≠ | Engle, R. F., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. Journal of Political Economy, 107(6), 1363-1384. link ↗ | Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. link ↗ |
| Àlies | Volatility components model | Mixed-frequency volatility model |
| Relacionats | 3 | 3 |
| Resum≠ | Component GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatility behavior at multiple frequencies. Introduced by Engle and Lee (1999), it elegantly models the empirical finding that volatility exhibits both rapid mean-reversion (daily shocks) and slow mean-reversion (level shifts). This framework is crucial for understanding volatility persistence and improving long-horizon volatility forecasting. | GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting. |
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