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| GARCH-MIDAS× | Τοπικές Προβολές× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 2012 | 2005 |
| Δημιουργός≠ | Engle and Ghysels | Oscar Jorda |
| Τύπος≠ | Time-varying variance model | Multi-horizon regression |
| Θεμελιώδης πηγή≠ | Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. link ↗ | Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182. DOI ↗ |
| Εναλλακτικές ονομασίες≠ | Mixed-frequency volatility model | LP-IR, Multi-horizon regression |
| Συναφείς | 3 | 3 |
| Σύνοψη≠ | GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting. | Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission. |
| ScholarGateΣύνολο δεδομένων ↗ |
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