Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo ARCH Robusto× | Regressão Quantílica× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2002–2008 | 1978 |
| Autor original≠ | Engle (1982) for ARCH; robust variants developed by Muler, Yohai, and others from the early 2000s | Koenker & Bassett |
| Tipo≠ | Volatility / conditional heteroscedasticity model | Conditional quantile regression |
| Fonte seminal≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| Outros nomes≠ | robust ARCH, outlier-robust ARCH, heavy-tailed ARCH, robust conditional volatility model | conditional quantile regression, regression quantiles, Kantil Regresyon |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series. | 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. |
| ScholarGateConjunto de dados ↗ |
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