GJR-GARCH (GARCH Asymmetric)
GJR-GARCH ni aina ya modeli ya kutofautiana kwa masharti (conditional-volatility model) ambayo hunasa athari ya kutokuwa sawia ya mshtuko hasi kwa utofautishaji kwa kutumia kigezo kiashiria. Ilianzishwa na Glosten, Jagannathan na Runkle (1993), na uundaji wa kizingiti wenye uhusiano wa karibu na Zakoian (1994).
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Method map
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Vyanzo
- Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗
- Zakoian, J. M. (1994). Threshold Heteroskedastic Models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI: 10.1016/0165-1889(94)90039-6 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Glosten-Jagannathan-Runkle GARCH. ScholarGate. https://scholargate.app/sw/econometrics/gjr-garch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Muundo wa ARCH (Autoregressive Conditional Heteroskedasticity)Ekonometriki↔ compare
- Mfumo wa ARIMA (Autoregressive Integrated Moving Average)Ekonometriki↔ compare
- Exponential GARCH (EGARCH)Ekonometriki↔ compare
- Modeli wa GARCH (Utabiri wa Msukosuko)Ekonometriki↔ compare
- TBATSEkonometriki↔ compare
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