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	Robust GARCH-modell	GARCH-modellen (prognostisering av volatilitet)
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1986–2013	1986
Upphovsperson	Boudt, Danielsson & Laurent (robust extensions); Bollerslev (standard GARCH, 1986)	Tim Bollerslev
Typ	Volatility model	Conditional volatility model
Ursprungskälla	Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alias	Robust GARCH, outlier-robust GARCH, heavy-tail GARCH, contamination-robust volatility model	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Närliggande	5	5
Sammanfattning	The Robust GARCH model extends the classical GARCH framework to handle outliers and heavy-tailed innovations that commonly appear in financial return series. By down-weighting extreme observations through a robust innovation term, it produces more reliable volatility forecasts when data contain jumps, crises, or other anomalies that would otherwise distort standard GARCH estimates.	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.