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波动率模型

47 种方法属于此方法族。

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Asymmetric Power ARCH (APARCH) (非对称幂自回归条件异方差模型): 金融收益率的灵活波动率建模APARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformat自回归条件异方差 (ARCH) 模型The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's errorARFIMA：分数阶积分自回归滑动平均模型ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Bates模型The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBEKK-GARCH：多元条件波动率建模BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return se分量GARCH模型Component GARCH decomposes conditional variance into transitory (short-term) and permanent (long-term) components with different dynamics, allowing flexibility in capturing volatil

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本主题被引用最多的基础方法，按其提出的先后顺序排列——若您初次接触，不妨从这里开始。

  1. 模型检验研究1970s (Joreskog 1969–1973); widely adopted in social sciences by the 1980s–1990s作者：Karl G. Joreskog (SEM/LISREL framework); formalized through structural equation modeling tradition
  2. 自回归条件异方差 (ARCH) 模型1982作者：Robert F. Engle
  3. GARCH 模型（波动率预测）1986作者：Tim Bollerslev
  4. 指数 GARCH (EGARCH)1991作者：Nelson
  5. EGARCH model1991作者：Daniel B. Nelson
  6. 随机波动率模型 (Heston)1993作者：Steven L. Heston
  7. TGARCH 模型（阈值 GARCH）1993-1994作者：Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
  8. 动态条件相关 (DCC-GARCH) 模型2002作者：Robert F. Engle
本栏架上的全部方法 ↓

全部方法 47

Asymmetric Power ARCH (APARCH) (非对称幂自回归条件异方差模型): 金融收益率的灵活波动率建模自回归条件异方差 (ARCH) 模型ARFIMA：分数阶积分自回归滑动平均模型Bates模型BEKK-GARCH：多元条件波动率建模分量GARCH模型DCC-GARCH（动态条件相关性）动态条件相关 (DCC-GARCH) 模型指数 GARCH (EGARCH)EGARCH model傅里叶自回归条件异方差模型 (Fourier ARCH Model)Fourier DCC-GARCH 模型傅里叶EGARCH：具有平滑结构性断裂的波动率建模傅里叶 GARCH 模型傅里叶对称GARCH模型广义自回归条件异方差模型 (GARCH)GARCH 模型（波动率预测）GARCH-MIDASGJR-GARCH (不对称 GARCH)长记忆模型（ARFIMA, FIGARCH）模型检验研究非线性ARCH模型 (NARCH)非线性 DCC-GARCH 模型（非对称动态条件相关性）非线性EGARCH模型非线性GARCH模型非线性TGARCH模型面板DCC-GARCH模型Panel EGARCH面板GARCH模型面板TGARCH（面板数据阈值GARCH模型）稳健ARCH模型稳健动态条件相关GARCH (Robust DCC-GARCH)稳健 EGARCH 模型稳健GARCH模型稳健TGARCHSABR模型随机波动率模型 (Heston)结构性断点 ARCH 模型结构突变DCC-GARCH模型结构性断点EGARCH模型结构性断裂 TGARCH (具有结构性断裂的阈值 GARCH)TGARCH 模型（阈值 GARCH）时间变系数自回归条件异方差模型 (TVP-ARCH)时变参数DCC-GARCH模型时变参数EGARCH模型时变参数 GARCH 模型 (TVP-GARCH)时变参数TGARCH模型

时间序列与预测 中的更多内容

预测与评估 123单位根与协整 69计量经济模型 61金融计量经济学 52多元时间序列 42ARIMA与平滑 31