Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo de Salto-Difusão de Merton× | Modelo GARCH (Previsão de Volatilidade)× | |
|---|---|---|
| Área≠ | Finanças | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1976 | 1986 |
| Autor original≠ | Robert C. Merton | Tim Bollerslev |
| Tipo≠ | Continuous-time asset price model (diffusion plus Poisson jumps) | Conditional volatility model |
| Fonte seminal≠ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Outros nomes≠ | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Relacionados≠ | 4 | 5 |
| Resumo≠ | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. | 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. |
| ScholarGateConjunto de dados ↗ |
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