Порівняння методів

	Узагальнена авторегресійна умовна гетероскедастичність (GARCH)	TBATS
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	1986	2011
Автор методу	Tim Bollerslev	De Livera, Hyndman & Snyder
Тип	Conditional volatility model	Exponential smoothing state space model
Основоположне джерело	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	De Livera, A. M., Hyndman, R. J. & Snyder, R. D. (2011). Forecasting Time Series with Complex Seasonal Patterns Using Exponential Smoothing. Journal of the American Statistical Association, 106(496), 1513-1527.
Інші назви	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	trigonometric exponential smoothing, multiple seasonal exponential smoothing, complex seasonal exponential smoothing, TBATS — Çoklu Mevsimsel Üstel Düzleştirme
Пов'язані	5	3
Підсумок	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.	TBATS is an innovations state space forecasting model, introduced by De Livera, Hyndman and Snyder (2011), that combines a Box-Cox transformation, ARMA errors and trigonometric (Fourier) seasonal terms. It is built to handle continuous time series with several nested seasonal cycles at once — for example hourly data that also repeats daily, weekly and yearly.