Сравнение методов

	Модель Марковских переключений режимов (MS-AR / MS-VAR)	Модель ARIMA (авторегрессионная интегрированная скользящая средняя)	Экспоненциальный GARCH (EGARCH)	Обобщенная авторегрессионная условная гетероскедастичность (GARCH)
Область	Эконометрика	Эконометрика	Эконометрика	Эконометрика
Семейство	Regression model	Regression model	Regression model	Regression model
Год появления	1989	2015	1991	1986
Автор метода	Hamilton (1989); Kim & Nelson (1999)	Box & Jenkins (Box-Jenkins methodology)	Nelson	Tim Bollerslev
Тип	Regime-switching time series model	Univariate time-series model	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Основополагающий источник	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Другие названия	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Связанные	5	5	4	5
Сводка	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	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.	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.