Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель TGARCH (Threshold GARCH)× | Модель EGARCH (Экспоненциальная GARCH)× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1993-1994 | 1991 |
| Автор метода≠ | Zakoian (1994); Glosten, Jagannathan & Runkle (1993) | Daniel B. Nelson |
| Тип≠ | Asymmetric volatility model | Volatility / conditional variance model |
| Основополагающий источник≠ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Другие названия | Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Связанные | 6 | 6 |
| Сводка≠ | The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
| ScholarGateНабор данных ↗ |
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