Volatilitetsmodeller
47 metoder i denna familj.
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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 transformatAutoregressiv modell för betingad heteroskedasticitet (ARCH-modell)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: Fraktionellt Integrerad ARMA-modellARFIMA 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 Bates-modellenThe 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: Multivariat modellering av betingad volatilitetBEKK-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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Alla metoder 47
APARCHAutoregressiv modell för betingad heteroskedasticitet (ARCH-modell)ARFIMA: Fraktionellt Integrerad ARMA-modellBates-modellenBEKK-GARCH: Multivariat modellering av betingad volatilitetComponent GARCHDCC-GARCH (Dynamisk betingad korrelation)DCC-GARCH-modellen (Dynamic Conditional Correlation)Exponentiell GARCH (EGARCH)EGARCH-modellen (Exponential GARCH)Fourier ARCH-modellFourier DCC-GARCH-modellFourier EGARCH: Modellering av volatilitet med jämna strukturella brottFourier GARCH-modellFourier TGARCH-modellGeneraliserad Autoregressiv Konditionell Heteroskedasticitet (GARCH)GARCH-modellen (prognostisering av volatilitet)GARCH-MIDASGJR-GARCH (Asymmetrisk GARCH)Modeller med långt minne (ARFIMA, FIGARCH)ModelltestningsforskningIcke-linjär ARCH-modell (NARCH)Icke-linjär DCC-GARCH-modell (asymmetrisk dynamisk villkorad korrelation)Icke-linjär EGARCH-modellIcke-linjär GARCH-modellIcke-linjär TGARCH-modellPanel DCC-GARCH-modellPanel EGARCHPanel GARCH-modellPanel TGARCH (Tröskel-GARCH för paneldata)Robust ARCH-modellRobust Dynamisk Villkorlig Korrelation GARCH (Robust DCC-GARCH)Robust EGARCH-modellRobust GARCH-modellRobust TGARCHSABR-modellStokastisk volatilitetsmodell (Heston)Strukturell brytning ARCH-modellStrukturellt brott DCC-GARCH-modellModell för strukturella brott i EGARCHStrukturell Brytpunkt TGARCH (Threshold GARCH med Strukturella Brytpunkter)TGARCH-modell (Threshold GARCH)Tidsvarierande parameter ARCH-modell (TVP-ARCH)Tidsvarierande parameter-DCC-GARCH-modellTidsvarierande parameter EGARCH-modellTidsvarierande Parameter GARCH-modell (TVP-GARCH)Tidsvarierande parameter TGARCH-modell