Sammenlign metoder
Gjennomgå de valgte metodene side om side; rader som avviker, er uthevet.
| ARIMA-modell (Autoregressiv Integrert Glidende Gjennomsnitt)× | GARCH-modell (volatilitetsprognoser)× | |
|---|---|---|
| Fagfelt | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Opprinnelsesår≠ | 1970 | 1986 |
| Opphavsperson≠ | George Box and Gwilym Jenkins | Tim Bollerslev |
| Type≠ | Time series forecasting model | Conditional volatility model |
| Opprinnelig kilde≠ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Alias | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Relaterte≠ | 6 | 5 |
| Sammendrag≠ | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
| ScholarGateDatasett ↗ |
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