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| Exponential GARCH (EGARCH)× | TBATS× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1991 | 2011 |
| Tvorca≠ | Nelson | De Livera, Hyndman & Snyder |
| Typ≠ | Conditional volatility model (asymmetric GARCH variant) | Exponential smoothing state space model |
| Pôvodný zdroj≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | De Livera, A. M., Hyndman, R. J. & Snyder, R. D. (2011). Forecasting Time Series with Complex Seasonal Patterns Using Exponential Smoothing. Journal of the American Statistical Association, 106(496), 1513-1527. DOI ↗ |
| Ďalšie názvy | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | trigonometric exponential smoothing, multiple seasonal exponential smoothing, complex seasonal exponential smoothing, TBATS — Çoklu Mevsimsel Üstel Düzleştirme |
| Príbuzné≠ | 4 | 3 |
| Zhrnutie≠ | 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. | TBATS is an innovations state space forecasting model, introduced by De Livera, Hyndman and Snyder (2011), that combines a Box-Cox transformation, ARMA errors and trigonometric (Fourier) seasonal terms. It is built to handle continuous time series with several nested seasonal cycles at once — for example hourly data that also repeats daily, weekly and yearly. |
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