Porovnat metody

	Model Markovova přepínání režimů (MS-AR / MS-VAR)	Exponential GARCH (EGARCH)	Generalizovaná autoregresní podmíněná heteroskedasticita (GARCH)
Obor	Ekonometrie	Ekonometrie	Ekonometrie
Rodina	Regression model	Regression model	Regression model
Rok vzniku	1989	1991	1986
Tvůrce	Hamilton (1989); Kim & Nelson (1999)	Nelson	Tim Bollerslev
Typ	Regime-switching time series model	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Původní zdroj	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.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Další názvy	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Příbuzné	5	4	5
Shrnutí	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.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.