Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Пороговая и плавнопереходная векторная авторегрессия (TVAR / STVAR)× | GJR-GARCH (Асимметричный GARCH)× | Модель Марковских переключений режимов (MS-AR / MS-VAR)× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 1998 | 1993 | 1989 |
| Автор метода≠ | Tsay (multivariate threshold modelling) | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) | Hamilton (1989); Kim & Nelson (1999) |
| Тип≠ | Nonlinear multivariate time-series model | Asymmetric conditional volatility model | Regime-switching time series model |
| Основополагающий источник≠ | Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. DOI ↗ | 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 ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| Другие названия≠ | TVAR, STVAR, regime-switching VAR, threshold VAR | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| Связанные | 5 | 5 | 5 |
| Сводка≠ | Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences. | 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). | 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. |
| ScholarGateНабор данных ↗ |
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