השוואת שיטות
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| מודל מיתוג-משטרים של מרקוב (MS-AR / MS-VAR)× | Exponential GARCH (EGARCH)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1989 | 1991 |
| הוגה השיטה≠ | Hamilton (1989); Kim & Nelson (1999) | Nelson |
| סוג≠ | Regime-switching time series model | Conditional volatility model (asymmetric GARCH variant) |
| מקור מכונן≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| כינויים≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| קשורות≠ | 5 | 4 |
| תקציר≠ | The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. | 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. |
| ScholarGateמערך נתונים ↗ |
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