Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Експоненційне GARCH (EGARCH)× | Узагальнена авторегресійна умовна гетероскедастичність (GARCH)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1991 | 1986 |
| Автор методу≠ | Nelson | Tim Bollerslev |
| Тип≠ | Conditional volatility model (asymmetric GARCH variant) | Conditional volatility model |
| Основоположне джерело≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI ↗ |
| Інші назви | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | GARCH(1,1), generalized ARCH, conditional volatility model, GARCH 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. | GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns. |
| ScholarGateНабір даних ↗ |
|
|