विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| एक्सपोनेंशियल GARCH (EGARCH)× | चरम मान सिद्धांत (EVT)× | |
|---|---|---|
| क्षेत्र≠ | अर्थमिति | वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1991 | 2001 |
| प्रवर्तक≠ | Nelson | Coles (textbook treatment); McNeil, Frey & Embrechts |
| प्रकार≠ | Conditional volatility model (asymmetric GARCH variant) | Tail / extreme-event model |
| मौलिक स्रोत≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598 |
| उपनाम≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold |
| संबंधित≠ | 4 | 5 |
| सारांश≠ | 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. | Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold. |
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