Volatilitätsmodelle
47 Methoden in dieser Familie.
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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-Modell (Autoregressive Conditional Heteroskedasticity)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: Modell mit fraktionierter integrierter ARMA-StrukturARFIMA 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-ModellThe 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: Multivariate Modellierung Konditionaler VolatilitätBEKK-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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Alle Methoden 47
APARCHARCH-Modell (Autoregressive Conditional Heteroskedasticity)ARFIMA: Modell mit fraktionierter integrierter ARMA-StrukturBates-ModellBEKK-GARCH: Multivariate Modellierung Konditionaler VolatilitätComponent GARCHDCC-GARCH (Dynamic Conditional Correlation)DCC-GARCH-Modell (Dynamic Conditional Correlation)Exponential GARCH (EGARCH)EGARCH-Modell (Exponential GARCH)Fourier ARCH-ModellFourier DCC-GARCH-ModellFourier EGARCH: Modellierung von Volatilität mit glatten strukturellen BrüchenFourier-GARCH-ModellFourier TGARCH-ModellGeneralisierte Autoregressive Bedingte Heteroskedastizität (GARCH)GARCH-Modell (Volatilitätsvorhersage)GARCH-MIDASGJR-GARCH (Asymmetrisches GARCH)Langzeitgedächtnismodelle (ARFIMA, FIGARCH)ModelltestforschungNichtlineares ARCH-Modell (NARCH)Nichtlineares DCC-GARCH-Modell (Asymmetrische dynamische bedingte Korrelation)Nichtlineares EGARCH-ModellNichtlineares GARCH-ModellNichtlineares TGARCH-ModellPanel-DCC-GARCH-ModellPanel EGARCHPanel-GARCH-ModellPanel TGARCH (Threshold GARCH für Paneldaten)Robuster ARCH-ModellRobust Dynamic Conditional Correlation GARCH (Robust DCC-GARCH)Robust EGARCH-ModellRobuster GARCH-ModellRobuster TGARCHSABR-ModellStochastisches Volatilitätsmodell (Heston)Struktureller Bruch ARCH-ModellStrukturelles Bruch-DCC-GARCH-ModellStruktureller Bruch EGARCH-ModellStrukturelle Bruch-TGARCH (Threshold GARCH mit strukturellen Brüchen)Das TGARCH-Modell (Threshold GARCH)Zeitvariantes Parameter-ARCH-Modell (TVP-ARCH)Zeitvariantes Parameter-DCC-GARCH-ModellZeitvariantes Parameter-EGARCH-ModellZeitvariantes Parameter-GARCH-Modell (TVP-GARCH)Zeitvariante Parameter TGARCH-Modell