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| Mô hình ARIMA (Autoregressive Integrated Moving Average)× | Exponential GARCH (EGARCH)× | Kiểm định Đồng tích hợp Johansen và Mô hình Hiệu chỉnh Sai số Vector× | |
|---|---|---|---|
| Lĩnh vực≠ | Kinh tế lượng | Kinh tế lượng | Tài chính |
| Họ | Regression model | Regression model | Regression model |
| Năm ra đời≠ | 2015 | 1991 | 1991 |
| Người khởi xướng≠ | Box & Jenkins (Box-Jenkins methodology) | Nelson | Søren Johansen |
| Loại≠ | Univariate time-series model | Conditional volatility model (asymmetric GARCH variant) | Multivariate cointegration / vector error correction model |
| Công trình gốc≠ | 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 | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Tên gọi khác≠ | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Liên quan≠ | 5 | 4 | 3 |
| Tóm tắt≠ | 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). | 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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