השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מודל ARCH עם פרמטרים משתנים בזמן (TVP-ARCH)× | מודל EGARCH (Exponential GARCH)× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1980s–1990s | 1991 |
| הוגה השיטה≠ | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature | Daniel B. Nelson |
| סוג≠ | Conditional heteroscedasticity model with time-varying coefficients | Volatility / conditional variance model |
| מקור מכונן≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| כינויים | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| קשורות≠ | 5 | 6 |
| תקציר≠ | The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
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