Modeli volatilnosti
47 metoda u ovoj porodici.
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APARCHAPARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformatARCH model (autoregresivna uslovna heteroskedastičnost)The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's errorARFIMA: Модел са фракционо интегрисаним ARMA процесомARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Bejts modelThe Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBEKK-GARCH: Modelovanje multivarijatne uslovne volatilnostiBEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return seComponent GARCHComponent GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil
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Najreferentnije temeljne metode ove teme, prema redosledu njihovog nastanka — mesto za početak ako ste novi ovde.
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APARCHARCH model (autoregresivna uslovna heteroskedastičnost)ARFIMA: Модел са фракционо интегрисаним ARMA процесомBejts modelBEKK-GARCH: Modelovanje multivarijatne uslovne volatilnostiComponent GARCHDCC-GARCH (Динамична условна корелација)DCC-GARCH model (dinamička uslovna korelacija)Eksponencijalni GARCH (EGARCH)EGARCH model (eksponencijalni GARCH)Furierov ARČ modelModel Furijeovog tipa DCC-GARCHFourier EGARCH: Моделирање волатилности са глатким структурним променамаModel Furije GARCHModel Furijeovog GARCH-aGeneralizovana autoregresivna uslovna heteroskedastičnost (GARCH)GARCH model (predviđanje volatilnosti)GARCH-MIDASGJR-GARCH (Asimetrični GARCH)Modelovanje duge memorije (ARFIMA, FIGARCH)Istraživanje testiranja modelaNelinearni ARCH model (NARCH)Nelinearni DCC-GARCH model (asimetrična dinamička uslovna korelacija)Nelinearni EGARCH modelNelinearni GARCH modelNelinearni TGARCH modelModel Panel DCC-GARCHPanel EGARCHModel Panel GARCHPanel TGARCH (Threshold GARCH za panelne podatke)Robustni ARCH modelРобусни динамички условни корелациони GARCH (Робусни DCC-GARCH)Робусни EGARCH моделRobusni GARCH modelRobusni TGARCHModel SABRModel stohastičke volatilnosti (Heston)ARCH model sa strukturnim lomomDCC-GARCH model sa strukturnim lomovimaModel strukturnog preloma EGARCHTGARCH sa strukturnim lomovima (Threshold GARCH sa strukturnim lomovima)Model TGARCH (Prag GARCH)Time-varying parameter ARCH modelModel DCC-GARCH sa vremenski promenljivim parametrimaModel TVP-EGARCH (Time-Varying Parameter EGARCH)Model GARCH sa vremenski promenljivim parametrima (TVP-GARCH)Model TGARCH sa vremenski promenljivim parametrima