Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Nelineární model ARIMA× | Model GARCH (Predikce volatility)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1978-1994 | 1986 |
| Tvůrce≠ | Howell Tong (SETAR/TAR framework); Timo Terasvirta (STAR extensions) | Tim Bollerslev |
| Typ≠ | Nonlinear time series model | Conditional volatility model |
| Původní zdroj≠ | Tong, H. (1990). Non-Linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 9780198522249 | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Další názvy | nonlinear ARIMA, NARIMA, nonlinear time series model, nonlinear Box-Jenkins model | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Příbuzné≠ | 3 | 5 |
| Shrnutí≠ | The Nonlinear ARIMA model extends the classical Box-Jenkins ARIMA framework by allowing the conditional mean of a time series to depend on past values and past errors through a nonlinear function. It encompasses families such as Threshold AR (TAR/SETAR), Smooth Transition AR (STAR/LSTAR/ESTAR), and Markov-switching models, capturing asymmetric dynamics, regime changes, and business-cycle asymmetries that linear ARIMA cannot represent. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
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