Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de Promedio Móvil No Lineal (NMA)× | Modelo GARCH (Predicción de Volatilidad)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1978 | 1986 |
| Autor original≠ | Granger & Andersen (bilinear/NMA framework); Tong (nonlinear time series theory) | Tim Bollerslev |
| Tipo≠ | Nonlinear time series model | Conditional volatility model |
| Fuente seminal≠ | Granger, C. W. J., & Andersen, A. P. (1978). An Introduction to Bilinear Time Series Models. Vandenhoeck and Ruprecht, Gottingen. link ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Alias | NMA model, nonlinear moving average, NLMA model, nonlinear MA | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Relacionados≠ | 4 | 5 |
| Resumen≠ | The Nonlinear Moving Average (NMA) model extends the classical linear MA model by allowing the current observation to depend on past innovations through a nonlinear function rather than a simple weighted sum. It is used in time series analysis when error shocks transmit to outcomes in an asymmetric or state-dependent fashion. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
| ScholarGateConjunto de datos ↗ |
|
|