方法对比

	ARIMA（自回归积分滑动平均）模型	高斯、t、Clayton、Gumbel、Frank 联结模型	指数 GARCH (EGARCH)
领域	计量经济学	金融学	计量经济学
方法族	Regression model	Regression model	Regression model
起源年份	2015	1959	1991
提出者	Box & Jenkins (Box-Jenkins methodology)	Sklar (1959); dependence-concept treatment by Joe (1997)	Nelson
类型	Univariate time-series model	Dependence model	Conditional volatility model (asymmetric GARCH variant)
开创性文献	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	Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut Statistique de l'Université de Paris, 8, 229-231.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
别名	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	copulas, dependence copulas, vine copulas, Kopula Modelleri (Gaussian, t, Clayton, Gumbel, Frank)	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
相关	5	5	4
摘要	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).	Copula models are a family of functions that describe the dependence structure between variables separately from their individual (marginal) distributions. The foundation is Sklar's theorem (1959), which shows that any multivariate distribution can be split into its marginals plus a copula; Joe (1997) developed the modern catalogue of dependence concepts. They are central to portfolio risk and credit modelling.	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.