Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест Бройша-Пагана на гетероскедастичність× | GJR-GARCH (Асиметричний GARCH)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1979 | 1993 |
| Автор методу≠ | Trevor Breusch & Adrian Pagan | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) |
| Тип≠ | Lagrange-multiplier test for heteroskedasticity | Asymmetric conditional volatility model |
| Основоположне джерело≠ | Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294. DOI ↗ | 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 ↗ |
| Інші назви | BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) |
| Пов'язані≠ | 3 | 5 |
| Підсумок≠ | The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated. | 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). |
| ScholarGateНабір даних ↗ |
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