So sánh phương pháp

	Mô hình Đa Fractal Chuyển mạch Markov	Mô hình GARCH (Dự báo Biến động)
Lĩnh vực	Chuỗi thời gian	Kinh tế lượng
Họ	Process / pipeline	Regression model
Năm ra đời	2004	1986
Người khởi xướng	Luc E. Calvet	Tim Bollerslev
Loại	Stochastic volatility model	Conditional volatility model
Công trình gốc	Calvet, L. E., & Fisher, A. J. (2004). How to forecast long-run volatility: regime-switching and the estimation of multifractal processes. Journal of Financial Econometrics, 2(1), 49–83.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Tên gọi khác	MSM, Markov-switching multifractal volatility	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Liên quan	3	5
Tóm tắt	The Markov-Switching Multifractal (MSM) model is a flexible framework for capturing time-varying volatility and long-memory effects in financial time series. Developed by Calvet and Fisher (2004), it combines Markov chain theory with multifractal scaling principles to generate volatility that exhibits multiple frequency components, each switching between high and low regimes. This approach is particularly effective for modeling asset returns with realistic fat tails and clustered volatility.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.