Strukturel Brud ARCH Model
Den Strukturel Brud ARCH-model udvider Engle's (1982) Autoregressive Conditional Heteroscedasticity-ramme ved eksplicit at tage højde for pludselige, permanente skift i den betingede variansproces. Ignorering af strukturelle brud i varians forårsager, at ARCH-parametre fremstår falsk vedvarende, så inkorporering af brud-dummyer eller regime-specifikke parametre giver mere nøjagtige volatilitetsestimater og bedre modeltilpasning.
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Method map
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Kilder
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI: 10.2307/1912773 ↗
- Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business and Economic Statistics, 8(2), 225–234. DOI: 10.1080/07350015.1990.10509794 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Autoregressive Conditional Heteroscedasticity Model with Structural Breaks. ScholarGate. https://scholargate.app/da/econometrics/structural-break-arch-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- ARCH-model (Autoregressiv Betinget Heteroskedasticitet)Økonometri↔ compare
- EGARCH-model (Eksponentiel GARCH)Økonometri↔ compare
- GARCH-model (volatilitetsprognoser)Økonometri↔ compare
- TGARCH-model (Threshold GARCH)Økonometri↔ compare
- Zivot-Andrews Strukturel Brud TestØkonometri↔ compare
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