Linganisha mbinu
Pitia mbinu ulizochagua bega kwa bega; safu zinazotofautiana zinaangaziwa.
| Modeli wa GARCH (Utabiri wa Msukosuko)× | Muundo wa Uhusiano wa Kiotomatiki wa Vecta (VAR)× | |
|---|---|---|
| Nyanja | Ekonometriki | Ekonometriki |
| Familia | Regression model | Regression model |
| Mwaka wa asili≠ | 1986 | 2005 |
| Mwanzilishi≠ | Tim Bollerslev | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Aina≠ | Conditional volatility model | Multivariate time-series model |
| Chanzo asilia≠ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Majina mbadala | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Zinazohusiana≠ | 5 | 4 |
| Muhtasari≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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