Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Обобщенная авторегрессионная условная гетероскедастичность (GARCH)× | DCC-GARCH (Dynamic Conditional Correlation)× | Экспоненциальный GARCH (EGARCH)× | |
|---|---|---|---|
| Область≠ | Эконометрика | Финансы | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 1986 | 2002 | 1991 |
| Автор метода≠ | Tim Bollerslev | Robert F. Engle | Nelson |
| Тип≠ | Conditional volatility model | Multivariate volatility model | Conditional volatility model (asymmetric GARCH variant) |
| Основополагающий источник≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Другие названия | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Связанные≠ | 5 | 5 | 4 |
| Сводка≠ | GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns. | DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
| ScholarGateНабор данных ↗ |
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