手法を比較

	指数 GARCH (EGARCH)	TBATS
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1991	2011
提唱者	Nelson	De Livera, Hyndman & Snyder
種類	Conditional volatility model (asymmetric GARCH variant)	Exponential smoothing state space model
原典	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	De Livera, A. M., Hyndman, R. J. & Snyder, R. D. (2011). Forecasting Time Series with Complex Seasonal Patterns Using Exponential Smoothing. Journal of the American Statistical Association, 106(496), 1513-1527.
別名	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	trigonometric exponential smoothing, multiple seasonal exponential smoothing, complex seasonal exponential smoothing, TBATS — Çoklu Mevsimsel Üstel Düzleştirme
関連	4	3
概要	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.	TBATS is an innovations state space forecasting model, introduced by De Livera, Hyndman and Snyder (2011), that combines a Box-Cox transformation, ARMA errors and trigonometric (Fourier) seasonal terms. It is built to handle continuous time series with several nested seasonal cycles at once — for example hourly data that also repeats daily, weekly and yearly.