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Prezrite si vybrané metódy vedľa seba; riadky, ktoré sa líšia, sú zvýraznené.
| Model GARCH (predikcia volatility)× | Exponenciálne vyhladzovanie (SES / Holt)× | Regresia metódou najmenších štvorcov (OLS)× | |
|---|---|---|---|
| Odbor | Ekonometria | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model | Regression model |
| Rok vzniku≠ | 1986 | 1957 | 2019 |
| Tvorca≠ | Tim Bollerslev | Robert G. Brown (SES); Charles C. Holt (linear trend) | Wooldridge (textbook treatment); classical least squares |
| Typ≠ | Conditional volatility model | Exponential smoothing forecasting model | Linear regression |
| Pôvodný zdroj≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill. link ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Ďalšie názvy | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) | SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Príbuzné≠ | 5 | 3 | 5 |
| Zhrnutie≠ | 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. | Exponential smoothing is a family of basic time-series forecasting models in which each new observation updates a smoothed estimate by a weighting parameter. Simple exponential smoothing (SES), introduced by Robert G. Brown in 1959, forecasts series with a stable level, while Holt's double exponential smoothing, introduced by Charles C. Holt in 1957, adds a trend term using the parameters alpha and beta. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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