Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Експоненційне GARCH (EGARCH)× | GJR-GARCH (Асиметричний GARCH)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1991 | 1993 |
| Автор методу≠ | Nelson | Glosten, Jagannathan & Runkle (1993); Zakoian (1994) |
| Тип≠ | Conditional volatility model (asymmetric GARCH variant) | Asymmetric conditional volatility model |
| Основоположне джерело≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. 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 | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | asymmetric GARCH, leverage GARCH, TGARCH, GJR-GARCH — Asimetrik GARCH (Glosten-Jagannathan-Runkle) |
| 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. | 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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