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| マルコフ体制スイッチングモデル (MS-AR / MS-VAR)× | 一般化自己回帰条件付き分散 (GARCH)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1989 | 1986 |
| 提唱者≠ | Hamilton (1989); Kim & Nelson (1999) | Tim Bollerslev |
| 種類≠ | Regime-switching time series model | Conditional volatility model |
| 原典≠ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ |
| 別名≠ | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli |
| 関連 | 5 | 5 |
| 概要≠ | The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. | 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. |
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