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| Model Robust GARCH× | Regresja kwantylowa× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1986–2013 | 1978 |
| Twórca≠ | Boudt, Danielsson & Laurent (robust extensions); Bollerslev (standard GARCH, 1986) | Koenker & Bassett |
| Typ≠ | Volatility model | Conditional quantile regression |
| Źródło pierwotne≠ | Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Inne nazwy≠ | Robust GARCH, outlier-robust GARCH, heavy-tail GARCH, contamination-robust volatility model | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | The Robust GARCH model extends the classical GARCH framework to handle outliers and heavy-tailed innovations that commonly appear in financial return series. By down-weighting extreme observations through a robust innovation term, it produces more reliable volatility forecasts when data contain jumps, crises, or other anomalies that would otherwise distort standard GARCH estimates. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
| ScholarGateZbiór danych ↗ |
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