השוואת שיטות

	מודל ARIMA (Autoregressive Integrated Moving Average)	מודלי קופולה (גאוסיאנית, t, קלייטון, גומבל, פרנק)	Exponential GARCH (EGARCH)
תחום	אקונומטריקה	מימון	אקונומטריקה
משפחה	Regression model	Regression model	Regression model
שנת המקור	2015	1959	1991
הוגה השיטה	Box & Jenkins (Box-Jenkins methodology)	Sklar (1959); dependence-concept treatment by Joe (1997)	Nelson
סוג	Univariate time-series model	Dependence model	Conditional volatility model (asymmetric GARCH variant)
מקור מכונן	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut Statistique de l'Université de Paris, 8, 229-231.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
כינויים	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	copulas, dependence copulas, vine copulas, Kopula Modelleri (Gaussian, t, Clayton, Gumbel, Frank)	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
קשורות	5	5	4
תקציר	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Copula models are a family of functions that describe the dependence structure between variables separately from their individual (marginal) distributions. The foundation is Sklar's theorem (1959), which shows that any multivariate distribution can be split into its marginals plus a copula; Joe (1997) developed the modern catalogue of dependence concepts. They are central to portfolio risk and credit modelling.	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.