Volatility models
47 methods in this family.
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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 modelThe 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 ModelARFIMA 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 ModelThe 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-GARCHBEKK-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
All methods 47
APARCHARCH modelARFIMA ModelBates ModelBEKK-GARCHComponent GARCHDCC-GARCHDCC-GARCH modelEGARCHEGARCH modelFourier ARCH ModelFourier DCC-GARCHFourier EGARCHFourier GARCH ModelFourier TGARCHGARCHGARCH ModelGARCH-MIDASGJR-GARCHLong-Memory ModelsModel Testing ResearchNonlinear ARCH modelNonlinear DCC-GARCH modelNonlinear EGARCH modelNonlinear GARCH modelNonlinear TGARCH modelPanel DCC-GARCHPanel EGARCHPanel GARCH modelPanel TGARCHRobust ARCH modelRobust DCC-GARCHRobust EGARCHRobust GARCH modelRobust TGARCHSABR ModelStochastic Volatility ModelStructural Break ARCH ModelStructural break DCC-GARCHStructural Break EGARCHStructural Break TGARCHTGARCH modelTime-varying parameter ARCH modelTime-varying parameter DCC-GARCH modelTime-varying parameter EGARCH modelTime-varying parameter GARCH modelTime-varying parameter TGARCH model