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Regression model

Exponential GARCH (EGARCH)

EGARCH ni aina ya GARCH isiyo sawia, iliyoanzishwa na Nelson mwaka 1991, ambayo huunda athari ya kujiinua ambapo habari mbaya huongeza tete zaidi kuliko habari njema ya ukubwa sawa. Inakamata usawa wa mshtuko hasi wa mfululizo wa mapato ya kifedha kwa kuunda logaritimu ya kiwango tofauti kinachowezekana.

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Method map

The neighbourhood of related methods — select a node to explore.

Exponential GARCH (EGARCH)
Mfumo wa ARIMA (Autoregr…Umuundo wa Kujirudia kwa…GJR-GARCH (GARCH Asymmet…TBATSAPARCHKipimo cha ARCH-LM kwa M…Thibitisho la Thamani ya…DCC-GARCH (Uhusiano Unao…Nadharia ya Thamani Iliy…Fourier EGARCH: Uundaji…

+4 more

Vyanzo

  1. Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260 ↗
  2. Engle, R. F. & Ng, V. K. (1993). Measuring and Testing the Impact of News on Volatility. The Journal of Finance, 48(5), 1749-1778. DOI: 10.1111/j.1540-6261.1993.tb05127.x ↗

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 1). Exponential Generalised Autoregressive Conditional Heteroskedasticity. ScholarGate. https://scholargate.app/sw/econometrics/egarch

Which method?

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Imerejelewa na

APARCHKipimo cha ARCH-LM kwa Makundi ya KutikisikaThibitisho la Thamani ya Hatari (Matarajio ya Upungufu)DCC-GARCH (Uhusiano Unaobadilika wa Masharti)Nadharia ya Thamani Iliyokithiri (EVT)Fourier EGARCH: Uundaji wa Volatiliti kwa Mapumziko Laini ya KimuundoUmuundo wa Kujirudia kwa Kujitegemea wenye Masharti ya Ugomvi (GARCH)Modeli wa GARCH (Utabiri wa Msukosuko)GJR-GARCH (GARCH Asymmetric)Mfumo wa Mabadiliko ya Mazinatio ya Markov (MS-AR / MS-VAR)Nadharia ya Hisa Zinazotambulika na Muundo wa HARThreshold VAR (TVAR) na Smooth-Transition VAR (STVAR)

Umeona tatizo kwenye ukurasa huu? Ripoti au pendekeza marekebisho →

ScholarGate — EGARCH (Exponential Generalised Autoregressive Conditional Heteroskedasticity). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/egarch · Seti ya data: https://doi.org/10.5281/zenodo.20539026