Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba ARCH-LM para la Agrupación de Volatilidad× | Exponential GARCH (EGARCH)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1982 | 1991 |
| Autor original≠ | Robert F. Engle | Nelson |
| Tipo≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | Conditional volatility model (asymmetric GARCH variant) |
| Fuente seminal≠ | 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 ↗ |
| Alias≠ | 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 |
| Relacionados≠ | 6 | 4 |
| Resumen≠ | 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. |
| ScholarGateConjunto de datos ↗ |
|
|