方法对比
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| 指数 GARCH (EGARCH)× | 简单和双指数平滑 (SES / Holt)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1991 | 1957 |
| 提出者≠ | Nelson | Robert G. Brown (SES); Charles C. Holt (linear trend) |
| 类型≠ | Conditional volatility model (asymmetric GARCH variant) | Exponential smoothing forecasting model |
| 开创性文献≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill. link ↗ |
| 别名 | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt) |
| 相关≠ | 4 | 3 |
| 摘要≠ | 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. | Exponential smoothing is a family of basic time-series forecasting models in which each new observation updates a smoothed estimate by a weighting parameter. Simple exponential smoothing (SES), introduced by Robert G. Brown in 1959, forecasts series with a stable level, while Holt's double exponential smoothing, introduced by Charles C. Holt in 1957, adds a trend term using the parameters alpha and beta. |
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