Volatiliteitsmodellen
47 methoden in deze familie.
Uitgelicht
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 transformatARCH-model (Autoregressieve Conditionele Heteroskedasticiteit)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 met fractioneel geïntegreerde ARMAARFIMA 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 Bates ModelThe 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: Modellering van Multivariante Conditionele VolatiliteitBEKK-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
Leesroute
De meest geraadpleegde fundamentele methoden van dit onderwerp, in de volgorde waarin ze zijn ontwikkeld — een plek om te beginnen als u hier nieuw bent.
Alle methoden 47
APARCHARCH-model (Autoregressieve Conditionele Heteroskedasticiteit)ARFIMA: Model met fractioneel geïntegreerde ARMABates ModelBEKK-GARCH: Modellering van Multivariante Conditionele VolatiliteitComponent GARCHDCC-GARCH (Dynamic Conditional Correlation)DCC-GARCH Model (Dynamic Conditional Correlation)Exponential GARCH (EGARCH)EGARCH-model (Exponentieel GARCH)Fourier ARCH-modelFourier DCC-GARCH ModelFourier EGARCH: Volatiliteitsmodellering met Vloeiende Structurele BreukenFourier GARCH-modelFourier TGARCH-modelGARCH (Generalized Autoregressive Conditional Heteroskedasticity)GARCH-model (Volatiliteitsvoorspelling)GARCH-MIDASGJR-GARCH (Asymmetrische GARCH)Modellen met langetermijngeheugen (ARFIMA, FIGARCH)Modeltoetsend OnderzoekNiet-lineair ARCH-model (NARCH)Niet-lineair DCC-GARCH Model (Asymmetrische Dynamische Conditionele Correlatie)Niet-lineair EGARCH-modelNiet-lineair GARCH-modelNiet-lineair TGARCH-modelPanel DCC-GARCH ModelPanel EGARCHPanel GARCH-modelPanel TGARCH (Threshold GARCH voor Paneldata)Robuuste ARCH-modelRobuuste Dynamische Conditionele Correlatie GARCH (Robuuste DCC-GARCH)Robuust EGARCH-modelRobuust GARCH-modelRobuuste TGARCHSABR-modelStochastisch volatiliteitsmodel (Heston)Structurele Breuk ARCH ModelStructurele Breuk DCC-GARCH ModelStructurele-breuk EGARCH-modelStructurele Breuk TGARCH (Threshold GARCH met Structurele Breuken)TGARCH-model (Threshold GARCH)Tijdsvariërend Parameter ARCH Model (TVP-ARCH)Tijdsvariërende Parameter DCC-GARCH ModelTijdsvariërend Parameter EGARCH ModelTijdsvariërend Parameter GARCH Model (TVP-GARCH)Tijdsvariërend Parameter TGARCH Model