Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| GJR-GARCH (Асимметричный GARCH)× | Экспоненциальный GARCH (EGARCH)× | Модель GARCH (прогнозирование волатильности)× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 1993 | 1991 | 1986 |
| Автор метода≠ | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Nelson | Tim Bollerslev |
| Тип≠ | Asymmetric conditional volatility model | Conditional volatility model (asymmetric GARCH variant) | Conditional volatility model |
| Основополагающий источник≠ | Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| Другие названия | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| Связанные≠ | 5 | 4 | 5 |
| Сводка≠ | GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994). | 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. | 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. |
| ScholarGateНабор данных ↗ |
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