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GJR-GARCH/Ushahidi
Rekodi ya ushahidi wa mbinu

GJR-GARCH

GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).

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Rekodi ya chanzo

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Glosten-Jagannathan-Runkle GARCH
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • 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
Fungua mbinu kamili

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Zilizotengenezwa kutoka kwa grafu ya mbinu na kuonyeshwa kama uhusiano uliopendekezwa na mashine — hakuna dai la ushahidi linalodokezwa.

Same method familyARCH modelmachine-suggested · Relational suggestion, not evidence.Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGARCH Modelmachine-suggested · Relational suggestion, not evidence.Same method familyTBATSmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

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

Vyanzo

2 nukuu zilizorekodiwa, ziliyonakiliwa kutoka kwa rekodi ya chanzo cha mbinu.

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Fungua ukurasa wa mbinu
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