Exponential GARCH (EGARCH)
EGARCH ialah varian GARCH asimetri, diperkenalkan oleh Nelson pada 1991, yang memodelkan kesan leveraj di mana berita buruk meningkatkan volatiliti lebih daripada berita baik bersaiz sama. Ia menangkap asimetri kejutan negatif siri pulangan kewangan dengan memodelkan logaritma varians bersyarat.
Baca kaedah sepenuhnya
Log masuk dengan akaun percuma untuk membaca bahagian ini.
Method map
The neighbourhood of related methods — select a node to explore.
+4 more
Sumber
- Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260 ↗
- Engle, R. F. & Ng, V. K. (1993). Measuring and Testing the Impact of News on Volatility. The Journal of Finance, 48(5), 1749-1778. DOI: 10.1111/j.1540-6261.1993.tb05127.x ↗
Cara memetik halaman ini
ScholarGate. (2026, June 1). Exponential Generalised Autoregressive Conditional Heteroskedasticity. ScholarGate. https://scholargate.app/ms/econometrics/egarch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Model ARIMA (Autoregresif Bersepadu Purata Bergerak)Ekonometrik↔ compare
- Generalised Autoregressive Conditional Heteroskedasticity (GARCH)Ekonometrik↔ compare
- GJR-GARCH (GARCH Asimetri)Ekonometrik↔ compare
- TBATSEkonometrik↔ compare
Dirujuk oleh
Terjumpa masalah pada halaman ini? Laporkan atau cadangkan pembetulan →