Muundo wa Nonlinear TGARCH
Muundo wa Nonlinear TGARCH (Threshold GARCH) unapanua mfumo wa kawaida wa GARCH kwa kuruhusu mshtuko chanya na hasi wa ukubwa sawa kuwa na athari tofauti kwa msukosuko wa siku zijazo. Unaunda msukosuko uliowekwa kwa masharti kwa kutumia thamani kamili ya mabaki yaliyopita yaliyogawanywa na kizingiti cha ishara, ukikamata athari ya leverage iliyorekodiwa vizuri katika mfululizo wa mapato ya kifedha.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- 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 ↗
- 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. Journal of Finance, 48(5), 1779–1801. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 3). Nonlinear Threshold GARCH Model. ScholarGate. https://scholargate.app/sw/econometrics/nonlinear-tgarch-model
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
- Modeli ya EGARCH (Exponential GARCH)Ekonometriki↔ compare
- Modeli wa GARCH (Utabiri wa Msukosuko)Ekonometriki↔ compare
- Modeli ya TGARCH (Threshold GARCH)Ekonometriki↔ compare
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