方法对比
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| 贝叶斯自回归条件异方差模型× | 贝叶斯阈值GARCH模型 (Bayesian TGARCH)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1982 (ARCH); 1989 (Bayesian estimation) | 1994 / 2008 |
| 提出者≠ | Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989) | Zakoian (1994) for TGARCH; Bayesian estimation formalized by Ardia (2008) |
| 类型≠ | Volatility model with Bayesian inference | Volatility model with asymmetric threshold and Bayesian inference |
| 开创性文献≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI ↗ |
| 别名 | Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH | Bayesian TGARCH, Bayesian GJR-GARCH, Threshold GARCH with Bayesian estimation, TGARCH-B |
| 相关 | 6 | 6 |
| 摘要≠ | The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH. | Bayesian TGARCH combines the Threshold GARCH volatility model — which captures the asymmetric response of volatility to positive versus negative shocks — with full Bayesian inference via Markov Chain Monte Carlo sampling. The result is a principled, uncertainty-aware framework for modeling leverage effects and fat-tailed financial returns. |
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