Model EGARCH Teguh
EGARCH Teguh melanjutkan model EGARCH Eksponensial Nelson (1991) dengan menggantikan anggaran kuasi-kemaksimum kebarangkalian standard dengan prosedur tahan pencilan — biasanya pengaruh terhad atau anggaran-M — supaya sebahagian kecil pemerhatian ekstrem atau kesilapan data tidak dapat mendistorsi dinamik volatiliti yang dianggar atau kesan ungkit.
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Method map
The neighbourhood of related methods — select a node to explore.
Sumber
- Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940. DOI: 10.1016/j.jspi.2007.11.003 ↗
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI: 10.2307/2938260 ↗
Cara memetik halaman ini
ScholarGate. (2026, June 3). Robust Exponential Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/ms/econometrics/robust-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 DCC-GARCH (Dynamic Conditional Correlation)Ekonometrik↔ compare
- Model EGARCH (Exponential GARCH)Ekonometrik↔ compare
- Model GARCH (Peramalan Volatiliti)Ekonometrik↔ compare
- Model GARCH TeguhEkonometrik↔ compare
- Robust TGARCHEkonometrik↔ compare
- Model TGARCH (Threshold GARCH)Ekonometrik↔ compare
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