手法を比較

	分散における因果性検定	GARCH-MIDAS
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1996	2012
提唱者	Yin-Wong Cheung and Lilian Ng	Engle and Ghysels
種類	Conditional variance test	Time-varying variance model
原典	Cheung, Y. W., & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1-2), 33-61.	Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391.
別名	Volatility spillover test	Mixed-frequency volatility model
関連	3	3
概要	The causality-in-variance test detects whether shocks to one variable cause changes in the conditional variance (volatility) of another variable, distinct from mean-level causality. Introduced by Cheung and Ng (1996), it identifies volatility spillovers and contagion effects—crucial for risk management and understanding financial market interdependencies. This approach has become standard in studying shock transmission across asset classes and geographies.	GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting.