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GARCH-MIDAS/Ushahidi
Rekodi ya ushahidi wa mbinu

GARCH-MIDAS

GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting.

Sources recorded, not reviewed

Rekodi ya chanzo

Nukuu zimehamishwa kwa uhalisi kutoka kwa rekodi ya chanzo cha mbinu. Hakuna uthibitisho wa kiwango cha dai unaodokezwa kutoka kwao.

GARCH with Mixed Data Sampling
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. · URL
  • Ghysels, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return trade-off after all. Journal of Financial Economics, 76(3), 674-704. · DOI 10.1016/j.jfineco.2004.03.008
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Same method familyComponent GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyDCC-MIDASmachine-suggested · Relational suggestion, not evidence.Same method familyU-MIDASmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

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