Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| ARIMA-malli (Autoregressiivinen integroitu liukuva keskiarvo)× | GARCH-malli (volatiliteetin ennustaminen)× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 1970 | 1986 |
| Kehittäjä≠ | George Box and Gwilym Jenkins | Tim Bollerslev |
| Tyyppi≠ | Time series forecasting model | Conditional volatility model |
| Alkuperäislähde≠ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Rinnakkaisnimet | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Liittyvät≠ | 6 | 5 |
| Tiivistelmä≠ | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. | 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. |
| ScholarGateAineisto ↗ |
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