Volatilitetsmodeller

47 metoder i denne familien.

Utvalgte

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 transformat ARCH-modell (Autoregressive Conditional Heteroskedasticity)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 ARFIMA: Fraksjonert Integrert ARMA-modellARFIMA 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-modellenThe 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 option BEKK-GARCH: Modellering av multivariat betinget volatilitetBEKK-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 se Komponent-GARCHComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil

Lesesti

Dette emnets mest refererte grunnleggende metoder, i den rekkefølgen de ble utviklet — et sted å begynne hvis du er ny her.

Modelltesting – Design for testing av strukturell teori1970s (Joreskog 1969–1973); widely adopted in social sciences by the 1980s–1990sav Karl G. Joreskog (SEM/LISREL framework); formalized through structural equation modeling tradition
ARCH-modell (Autoregressive Conditional Heteroskedasticity)1982av Robert F. Engle
GARCH-modell (volatilitetsprognoser)1986av Tim Bollerslev
Eksponentiell GARCH (EGARCH)1991av Nelson
EGARCH-modell (Exponential GARCH)1991av Daniel B. Nelson
Stokastisk volatilitetsmodell (Heston)1993av Steven L. Heston
TGARCH-modell (Threshold GARCH)1993-1994av Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
DCC-GARCH-modellen (Dynamic Conditional Correlation)2002av Robert F. Engle

alle metoder på denne hyllen ↓

Alle metoder 47

APARCH ARCH-modell (Autoregressive Conditional Heteroskedasticity)ARFIMA: Fraksjonert Integrert ARMA-modell Bates-modellen BEKK-GARCH: Modellering av multivariat betinget volatilitet Komponent-GARCH DCC-GARCH (dynamisk betinget korrelasjon)DCC-GARCH-modellen (Dynamic Conditional Correlation)Eksponentiell GARCH (EGARCH)EGARCH-modell (Exponential GARCH)Fourier ARCH-modell Fourier DCC-GARCH-modell Fourier EGARCH: Volatilitetsmodellering med glatte strukturelle brudd Fourier GARCH-modell Fourier TGARCH-modell Generalisert Autoregressiv Betinget Heteroskedastisitet (GARCH)GARCH-modell (volatilitetsprognoser)GARCH-MIDAS GJR-GARCH (Asymmetrisk GARCH)Langhukommelsesmodeller (ARFIMA, FIGARCH)Modelltesting – Design for testing av strukturell teori Ikke-lineær ARCH-modell (NARCH)Ikke-lineær DCC-GARCH-modell (asymmetrisk dynamisk betinget korrelasjon)Ikke-lineær EGARCH-modell Ikke-lineær GARCH-modell Ikke-lineær TGARCH-modell Panel DCC-GARCH-modell Panel EGARCH Panel GARCH-modell Panel TGARCH (Threshold GARCH for Panel Data)Robust ARCH-modell Robust Dynamisk Betinget Korrelasjon GARCH (Robust DCC-GARCH)Robust EGARCH-modell Robust GARCH-modell Robust TGARCH SABR-modellen Stokastisk volatilitetsmodell (Heston)Strukturell brudd ARCH-modell Strukturell brudd DCC-GARCH-modell Strukturell brudd EGARCH-modell Strukturell brudd TGARCH (Threshold GARCH med strukturelle brudd)TGARCH-modell (Threshold GARCH)Tidsvarierende parameter ARCH-modell (TVP-ARCH)Tidsvarierende Parameter DCC-GARCH Modell Tidsvarierende parameter EGARCH-modell Tidsvarierende Parameter GARCH-modell (TVP-GARCH)Tidsvarierende parameter TGARCH-modell

Mer i Tidsserier og prognoser

Prognoser og evaluering 123 Enhetsrot og kointegrasjon 69 Økonometriske modeller 61 Finansiell økonometri 52 Multivariate tidsserier 42 ARIMA og glatting 31