Módszerek összehasonlítása

	ARIMA (Autoregressive Integrated Moving Average) modell	Kondicionális Érték a Kockázatnál (Elvárt Hanyad)	Exponenciális GARCH (EGARCH)
Tudományterület	Ökonometria	Pénzügy	Ökonometria
Módszercsalád	Regression model	Regression model	Regression model
Keletkezés éve	2015	2000	1991
Megalkotó	Box & Jenkins (Box-Jenkins methodology)	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Nelson
Típus	Univariate time-series model	Coherent tail-risk measure	Conditional volatility model (asymmetric GARCH variant)
Alapmű	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alternatív nevek	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	CVaR, expected shortfall, average value-at-risk, tail VaR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Kapcsolódó	5	5	4
Összefoglaló	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Conditional Value-at-Risk (CVaR), also called Expected Shortfall, is a coherent tail-risk measure that quantifies the conditional expectation of losses beyond the Value-at-Risk threshold. It was introduced for optimization by Rockafellar and Uryasev (2000) and shown to be coherent by Acerbi and Tasche (2002), and it has replaced VaR as the regulatory standard under Basel III/IV.	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.