Sammenlign metoder
Gjennomgå de valgte metodene side om side; rader som avviker, er uthevet.
| HAR-RV-modellen for realisert volatilitet× | Markov-regimeskiftmodell for finansielle tidsserier× | |
|---|---|---|
| Fagfelt | Finans | Finans |
| Familie | Regression model | Regression model |
| Opprinnelsesår≠ | 2009 | 1989 |
| Opphavsperson≠ | Fulvio Corsi | James D. Hamilton |
| Type≠ | Linear time-series regression for volatility | Markov regime-switching time-series model |
| Opprinnelig kilde≠ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| Alias≠ | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) | Markov switching model, Hamilton regime-switching model, MS-AR, hidden Markov regime model |
| Relaterte≠ | 5 | 1 |
| Sammendrag≠ | The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility. | The Markov regime-switching model, introduced by James D. Hamilton in 1989, is a hidden-state time-series model in which financial series such as returns or volatility behave with different parameters across distinct economic regimes (bull/bear or high/low volatility). It is the financial application of Hamilton's MS-AR model, where an unobserved Markov state governs which parameter set is active at each point in time. |
| ScholarGateDatasett ↗ |
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