Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| GJR-GARCH (Asymetrický GARCH)× | Exponential GARCH (EGARCH)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1993 | 1991 |
| Tvůrce≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Nelson |
| Typ≠ | Asymmetric conditional volatility model | Conditional volatility model (asymmetric GARCH variant) |
| Původní zdroj≠ | Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Další názvy | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Příbuzné≠ | 5 | 4 |
| Shrnutí≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | 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. |
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