Modeli volatilnosti
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APARCHAPARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformatARCH model (Autoregressive Conditional Heteroskedasticity)The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's errorARFIMA: Model frakcijski integriranih ARMA procesaARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Batesov modelThe Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBEKK-GARCH: Višekomponentno modeliranje uvjetne volatilnostiBEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return seKomponentni GARCHComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil
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APARCHARCH model (Autoregressive Conditional Heteroskedasticity)ARFIMA: Model frakcijski integriranih ARMA procesaBatesov modelBEKK-GARCH: Višekomponentno modeliranje uvjetne volatilnostiKomponentni GARCHDCC-GARCH (dinamička uvjetna korelacija)Model DCC-GARCH (Dinamička uvjetna korelacija)EGARCH (Exponential GARCH)EGARCH model (eksponencijalni GARCH)Fourierov ARCH modelFourier DCC-GARCH ModelFourier EGARCH: Modeliranje volatilnosti s glatkim strukturnim promjenamaFourier GARCH modelFourier TGARCH modelGeneralizirani autoregresivni uvjetni heteroskedasticitet (GARCH)Model GARCH (Prognoziranje volatilnosti)GARCH-MIDASGJR-GARCH (Asimetrični GARCH)Modeli dugog pamćenja (ARFIMA, FIGARCH)Istraživanje testiranja modelaNelinearni ARCH model (NARCH)Nelinearni DCC-GARCH model (Asimetrična dinamička uvjetna korelacija)Nelinearni EGARCH modelNelinearni GARCH modelNelinearni TGARCH modelModel Panel DCC-GARCHPanel EGARCHPanel GARCH modelPanel TGARCH (prag GARCH model za panelne podatke)Robustni ARCH modelRobusni dinamički uvjetovani korelacijski GARCH (Robust DCC-GARCH)Robustni EGARCH modelRobusni GARCH modelRobusni TGARCHModel SABRModel stohastičke volatilnosti (Heston)Model strukturnog loma ARCHModel strukturnih promjena DCC-GARCHEGARCH model sa strukturnim lomomTGARCH sa strukturnim lomovima (Threshold GARCH sa strukturnim lomovima)TGARCH model (Threshold GARCH)Model sa vremenski promjenjivim parametrima ARMA (TVP-ARCH)Model DCC-GARCH s vremenski promjenjivim parametrimaModel EGARCH s vremenski promjenjivim parametrimaGARCH model s vremenski promjenjivim parametrima (TVP-GARCH)Model parametara koji se mijenja s vremenom TGARCH