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Εξετάστε τις επιλεγμένες μεθόδους δίπλα-δίπλα· οι γραμμές που διαφέρουν επισημαίνονται.
| Έλεγχος ARCH-LM για Συσταδοποίηση Μεταβλητότητας× | Εκθετικό GARCH (EGARCH)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1982 | 1991 |
| Δημιουργός≠ | Robert F. Engle | Nelson |
| Τύπος≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | Conditional volatility model (asymmetric GARCH variant) |
| Θεμελιώδης πηγή≠ | Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Συναφείς≠ | 6 | 4 |
| Σύνοψη≠ | The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
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