Volatilitetsmodeller
47 metoder i denne familie.
Udvalgte
APARCHAPARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformatARCH-model (Autoregressiv Betinget Heteroskedasticitet)The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's errorARFIMA: Fraktioneret Integreret ARMA-modelARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Bates-modellenThe Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBEKK-GARCH: Multivariat modellering af betinget volatilitetBEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return seComponent GARCHComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil
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APARCHARCH-model (Autoregressiv Betinget Heteroskedasticitet)ARFIMA: Fraktioneret Integreret ARMA-modelBates-modellenBEKK-GARCH: Multivariat modellering af betinget volatilitetComponent GARCHDCC-GARCH (Dynamic Conditional Correlation)DCC-GARCH-model (Dynamisk Betinget Korrelation)Exponential GARCH (EGARCH)EGARCH-model (Eksponentiel GARCH)Fourier ARCH-modelFourier DCC-GARCH ModelFourier EGARCH: Volatilitetsmodellering med glidende strukturelle brudFourier GARCH-modelFourier TGARCHGeneraliseret Autoregressiv Betinget Heteroskedasticitet (GARCH)GARCH-model (volatilitetsprognoser)GARCH-MIDASGJR-GARCH (Asymmetrisk GARCH)Langhukommelsesmodeller (ARFIMA, FIGARCH)ModeltestningsforskningNonlineær ARCH-model (NARCH)Nonlinear DCC-GARCH-model (asymmetrisk dynamisk betinget korrelation)Ikke-lineær EGARCH-modelNonlineær GARCH-modelNonlineær TGARCH-modelPanel DCC-GARCH-modelPanel EGARCHPanel GARCH-modelPanel TGARCH (Threshold GARCH for Panel Data)Robust ARCH-modelRobust Dynamic Conditional Correlation GARCH (Robust DCC-GARCH)Robust EGARCH ModelRobust GARCH-modelRobust TGARCHSABR-modelStokastisk volatilitetsmodel (Heston)Strukturel Brud ARCH ModelStrukturelt brud DCC-GARCH-modelStrukturelt brud EGARCH-modelStructural Break TGARCH (Threshold GARCH med Strukturelle Brud)TGARCH-model (Threshold GARCH)Tidsvarierende Parameter ARCH-model (TVP-ARCH)Tidsvarierende Parameter DCC-GARCH ModelTidsvarierende Parameter EGARCH ModelTidsvarierende Parameter GARCH Model (TVP-GARCH)Tidsvarierende Parameter TGARCH Model