مقایسهٔ روشها
روشهای انتخابی خود را کنار هم مرور کنید؛ ردیفهای متفاوت برجسته شدهاند.
| نوسانپذیری تحققیافته و مدل HAR× | مدل نمایی GARCH (EGARCH)× | |
|---|---|---|
| حوزه≠ | مالی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2009 | 1991 |
| پدیدآور≠ | Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility) | Nelson |
| نوع≠ | Time-series regression of realized variance | Conditional volatility model (asymmetric GARCH variant) |
| منبع بنیادین≠ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| نامهای دیگر≠ | realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| مرتبط≠ | 5 | 4 |
| خلاصه≠ | Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction. | 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. |
| ScholarGateمجموعهداده ↗ |
|
|