Módszerek összehasonlítása

	A GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modell	Regresszió Ordináris Legkisebb Négyzetes (OLS) módszerrel
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1986	2019
Megalkotó	Tim Bollerslev	Wooldridge (textbook treatment); classical least squares
Típus	Conditional volatility model	Linear regression
Alapmű	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
Alternatív nevek	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
Kapcsolódó	5	5
Összefoglaló	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).