Compara mètodes

	Model de commutació de règims de Markov (MS-AR / MS-VAR)	Exponential GARCH (EGARCH)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1989	1991
Autor original	Hamilton (1989); Kim & Nelson (1999)	Nelson
Tipus	Regime-switching time series model	Conditional volatility model (asymmetric GARCH variant)
Font seminal	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Àlies	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Relacionats	5	4
Resum	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.	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.