เปรียบเทียบวิธี

	Component GARCH	GARCH-MIDAS	Quantile VAR
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model	Regression model
ปีกำเนิด	1999	2012	2006
ผู้ริเริ่ม	Engle and Lee	Engle and Ghysels	Koenker and Xiao
ประเภท	Decomposed variance model	Time-varying variance model	Distribution impulse response
แหล่งต้นตำรับ	Engle, R. F., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. Journal of Political Economy, 107(6), 1363-1384.	Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391.	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.
ชื่อเรียกอื่น	Volatility components model	Mixed-frequency volatility model	Quantile-based impulse response
ที่เกี่ยวข้อง	3	3	3
สรุป	Component GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatility behavior at multiple frequencies. Introduced by Engle and Lee (1999), it elegantly models the empirical finding that volatility exhibits both rapid mean-reversion (daily shocks) and slow mean-reversion (level shifts). This framework is crucial for understanding volatility persistence and improving long-horizon volatility forecasting.	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.	Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times.