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| GJR-GARCH (Asymmetrisches GARCH)× | Markov-Regime-Switching-Modell (MS-AR / MS-VAR)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1993 | 1989 |
| Urheber≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Hamilton (1989); Kim & Nelson (1999) |
| Typ≠ | Asymmetric conditional volatility model | Regime-switching time series model |
| Wegweisende Quelle≠ | Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| Aliasnamen≠ | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. |
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