Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Експоненційне GARCH (EGARCH)× | Модель ARIMA (Авторегресійна інтегрована ковзна середня)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1991 | 2015 |
| Автор методу≠ | Nelson | Box & Jenkins (Box-Jenkins methodology) |
| Тип≠ | Conditional volatility model (asymmetric GARCH variant) | Univariate time-series model |
| Основоположне джерело≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 |
| Інші назви≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| Пов'язані≠ | 4 | 5 |
| Підсумок≠ | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). |
| ScholarGateНабір даних ↗ |
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