विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| एक्सपोनेंशियल GARCH (EGARCH)× | जोहान्सन सह-एकीकरण परीक्षण और सदिश त्रुटि सुधार मॉडल× | |
|---|---|---|
| क्षेत्र≠ | अर्थमिति | वित्त |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष | 1991 | 1991 |
| प्रवर्तक≠ | Nelson | Søren Johansen |
| प्रकार≠ | Conditional volatility model (asymmetric GARCH variant) | Multivariate cointegration / vector error correction model |
| मौलिक स्रोत≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| उपनाम≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Johansen test, VECM, vector error correction model, multivariate cointegration |
| संबंधित≠ | 4 | 3 |
| 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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