Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| GJR-GARCH (Asimetriskais GARCH)× | Autoregresīvās nosacītās heteroskedastiskuma (ARCH) modelis× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1993 | 1982 |
| Autors≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Robert F. Engle |
| Tips≠ | Asymmetric conditional volatility model | Conditional volatility model |
| Pirmavots≠ | Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI ↗ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ |
| Citi nosaukumi | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model |
| Saistītās≠ | 5 | 6 |
| Kopsavilkums≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. |
| ScholarGateDatu kopa ↗ |
|
|