Võrdle meetodeid

	Komponent-GARCH	Piiramatu MIDAS-regressioon
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1999	2007
Looja	Engle and Lee	Eric Ghysels
Tüüp	Decomposed variance model	Time-series regression
Algallikas	Engle, R. F., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. Journal of Political Economy, 107(6), 1363-1384.	Foroni, C., Ghysels, E., & Marcellino, M. (2015). Mixed-frequency vector autoregressive models. International Journal of Forecasting, 31(4), 1051-1070.
Rööpnimetused	Volatility components model	Unrestricted Mixed Data Sampling
Seotud	3	3
Kokkuvõte	Component GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatility behavior at multiple frequencies. Introduced by Engle and Lee (1999), it elegantly models the empirical finding that volatility exhibits both rapid mean-reversion (daily shocks) and slow mean-reversion (level shifts). This framework is crucial for understanding volatility persistence and improving long-horizon volatility forecasting.	U-MIDAS (Unrestricted MIDAS) is a regression framework designed to handle mixed-frequency data—when explanatory variables arrive at different sampling frequencies (e.g., monthly GDP mixed with daily stock returns). Introduced by Ghysels and colleagues (2007), it eliminates the restrictive lag-structure polynomial constraints of the original MIDAS approach, allowing fuller use of high-frequency information. This flexibility makes it ideal for nowcasting and real-time economic forecasting.