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| Generalisierte Autoregressive Bedingte Heteroskedastizität (GARCH)× | Methode der kleinsten Quadrate (OLS)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1986 | 2019 |
| Urheber≠ | Tim Bollerslev | Wooldridge (textbook treatment); classical least squares |
| Typ≠ | Conditional volatility model | Linear regression |
| Wegweisende Quelle≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Aliasnamen | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | 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. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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