विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| टाइम-वेरिंग पैरामीटर एआरसीएच मॉडल (TVP-ARCH)× | EGARCH मॉडल (घातीय GARCH)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 1980s–1990s | 1991 |
| प्रवर्तक≠ | Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature | Daniel B. Nelson |
| प्रकार≠ | Conditional heteroscedasticity model with time-varying coefficients | Volatility / conditional variance model |
| मौलिक स्रोत≠ | 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 ↗ |
| उपनाम | TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| संबंधित≠ | 5 | 6 |
| सारांश≠ | 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. |
| ScholarGateडेटासेट ↗ |
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