Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| EGARCH (Exponential GARCH)× | Kvantīļu regresija× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1991 | 1978 |
| Autors≠ | Nelson | Koenker & Bassett |
| Tips≠ | Conditional volatility model (asymmetric GARCH variant) | Conditional quantile regression |
| Pirmavots≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Citi nosaukumi≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Saistītās≠ | 4 | 5 |
| Kopsavilkums≠ | 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. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
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