방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 지수적 GARCH (EGARCH)× | 일반화 자기회귀 조건부 이분산성 (GARCH)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1991 | 1986 |
| 창시자≠ | Nelson | Tim Bollerslev |
| 유형≠ | Conditional volatility model (asymmetric GARCH variant) | Conditional volatility model |
| 원전≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ |
| 별칭 | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli |
| 관련≠ | 4 | 5 |
| 요약≠ | 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. | 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. |
| ScholarGate데이터셋 ↗ |
|
|