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| Mô hình ARCH phi tuyến (NARCH)× | Mô hình EGARCH (Exponential GARCH)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 1992 | 1991 |
| Người khởi xướng≠ | Higgins & Bera | Daniel B. Nelson |
| Loại≠ | Volatility model | Volatility / conditional variance model |
| Công trình gốc≠ | Higgins, M. L., & Bera, A. K. (1992). A class of nonlinear ARCH models. International Economic Review, 33(1), 137-158. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Tên gọi khác | NARCH, Nonlinear ARCH, nonlinear conditional heteroscedasticity model, NARCH model | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Liên quan≠ | 4 | 6 |
| Tóm tắt≠ | The Nonlinear ARCH (NARCH) model, introduced by Higgins and Bera (1992), extends Engle's original ARCH framework by allowing the power transformation of volatility to be estimated from the data rather than fixed at two. This flexibility captures a broader class of volatility dynamics observed in financial and macroeconomic time series. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
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