Model volatilitas
47 metode dalam keluarga ini.
Unggulan
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 transformatModel ARCH (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 ARMA Terintegrasi PecahanARFIMA 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 Model BatesThe 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: Pemodelan Volatilitas Kondisional MultivariatBEKK-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 seGARCH KomponenComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil
Jalur bacaan
Metode fondasional yang paling banyak dirujuk pada topik ini, dalam urutan pengembangannya — tempat untuk memulai jika Anda baru di sini.
Semua metode 47
APARCHModel ARCH (Autoregressive Conditional Heteroskedasticity)ARFIMA: Model ARMA Terintegrasi PecahanModel BatesBEKK-GARCH: Pemodelan Volatilitas Kondisional MultivariatGARCH KomponenDCC-GARCH (Korelasi Kondisional Dinamis)Model DCC-GARCH (Dynamic Conditional Correlation)Exponential GARCH (EGARCH)Model EGARCH (Exponential GARCH)Model ARCH FourierModel DCC-GARCH FourierFourier EGARCH: Pemodelan Volatilitas dengan Perubahan Struktural yang MulusModel GARCH FourierModel TGARCH FourierGeneralised Autoregressive Conditional Heteroskedasticity (GARCH)Model GARCH (Peramalan Volatilitas)GARCH-MIDASGJR-GARCH (GARCH Asimetris)Model Memori Jangka Panjang (ARFIMA, FIGARCH)Riset Pengujian ModelModel ARCH Nonlinier (NARCH)Model DCC-GARCH Nonlinier (Korelasi Bersyarat Dinamis Asimetris)Model EGARCH NonlinearModel GARCH NonlinearModel TGARCH NonlinearModel Panel DCC-GARCHPanel EGARCHModel Panel GARCHPanel TGARCH (Threshold GARCH untuk Data Panel)Model ARCH KuatModel Robust Dynamic Conditional Correlation GARCH (Robust DCC-GARCH)Model EGARCH yang Kuat (Robust EGARCH)Model GARCH RobustRobust TGARCHModel SABRModel Volatilitas Stokastik (Heston)Model ARCH Lintas StrukturalModel DCC-GARCH dengan Pergeseran StrukturalModel EGARCH Perubahan StrukturalTGARCH Struktural (Threshold GARCH dengan Perubahan Struktural)Model TGARCH (Threshold GARCH)Model ARCH Parameter Waktu-Bervariasi (TVP-ARCH)Model TVP-DCC-GARCH (Time-Varying Parameter DCC-GARCH)Model EGARCH Parameter Waktu-Berubah (TVP-EGARCH)Model GARCH Parameter Waktu-Bervariasi (TVP-GARCH)Model TGARCH Parameter Bervariasi Waktu (TVP-TGARCH)