Módszerek összehasonlítása

	GARCH modell (volatilitás-előrejelzés)	Nagyfrekvenciás adatok és piaci mikrostruktúra-elemzés	Regresszió Ordináris Legkisebb Négyzetes (OLS) módszerrel
Tudományterület	Ökonometria	Pénzügy	Ökonometria
Módszercsalád	Regression model	Regression model	Regression model
Keletkezés éve	1986	2007	2019
Megalkotó	Tim Bollerslev	Hasbrouck (2007); Aït-Sahalia & Jacod (2014)	Wooldridge (textbook treatment); classical least squares
Típus	Conditional volatility model	Market microstructure / high-frequency econometrics	Linear regression
Alapmű	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.	Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
Alternatív nevek	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
Kapcsolódó	5	5	5
Összefoglaló	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.	Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014).	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).