Model kemeruapan
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Sorotan
APARCHAPARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformatModel ARCH (Heteroskedastisitas Bersyarat Autoregresif)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 errorARFIMA: Model ARMA Berpetalian PecahanARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Model BatesThe Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBEKK-GARCH: Pemodelan Volatiliti Bersyarat MultivariatBEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return seComponent GARCHComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil
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APARCHModel ARCH (Heteroskedastisitas Bersyarat Autoregresif)ARFIMA: Model ARMA Berpetalian PecahanModel BatesBEKK-GARCH: Pemodelan Volatiliti Bersyarat MultivariatComponent GARCHDCC-GARCH (Dynamic Conditional Correlation)Model DCC-GARCH (Dynamic Conditional Correlation)Exponential GARCH (EGARCH)Model EGARCH (Exponential GARCH)Model ARCH FourierModel Fourier DCC-GARCHFourier EGARCH: Pemodelan Volatiliti dengan Perubahan Struktur yang LancarModel GARCH FourierModel Fourier TGARCHGeneralised Autoregressive Conditional Heteroskedasticity (GARCH)Model GARCH (Peramalan Volatiliti)GARCH-MIDASGJR-GARCH (GARCH Asimetri)Model Ingatan Jangka Panjang (ARFIMA, FIGARCH)Reka Uji ModelModel ARCH Tak Linear (NARCH)Model DCC-GARCH Tak Linear (Korelasi Bersyarat Dinamik Asimetri)Model EGARCH Tak LinearModel GARCH Bukan LinearModel TGARCH TaklinearModel DCC-GARCH PanelPanel EGARCHModel Panel GARCHTGARCH Panel (Threshold GARCH untuk Data Panel)Model ARCH Tahan LasakGARCH Korelasi Bersyarat Dinamik Robust (Robust DCC-GARCH)Model EGARCH TeguhModel GARCH TeguhRobust TGARCHModel SABRModel Volatiliti Stokastik (Heston)Model ARCH Pecahan StrukturModel DCC-GARCH Pecah StrukturModel EGARCH Pecahan StrukturTGARCH (Threshold GARCH dengan Pecahan Struktur)Model TGARCH (Threshold GARCH)Model ARCH Parameter-Serbaguna (TVP-ARCH)Model Pekali Boleh Ubah Masa DCC-GARCHModel EGARCH Parameter Variasi MasaModel GARCH Parameter-Variabel Masa (TVP-GARCH)Model Pekali Pemboleh Ubah Masa TGARCH