So sánh phương pháp

	GARCH-MIDAS	Component GARCH
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	2012	1999
Người khởi xướng	Engle and Ghysels	Engle and Lee
Loại	Time-varying variance model	Decomposed variance model
Công trình gốc	Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391.	Engle, R. F., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. Journal of Political Economy, 107(6), 1363-1384.
Tên gọi khác	Mixed-frequency volatility model	Volatility components model
Liên quan	3	3
Tóm tắt	GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting.	Component GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatility behavior at multiple frequencies. Introduced by Engle and Lee (1999), it elegantly models the empirical finding that volatility exhibits both rapid mean-reversion (daily shocks) and slow mean-reversion (level shifts). This framework is crucial for understanding volatility persistence and improving long-horizon volatility forecasting.