方法对比
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| 默顿跳跃扩散模型× | GARCH 模型（波动率预测）× | |
|---|---|---|
| 领域≠ | 金融学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1976 | 1986 |
| 提出者≠ | Robert C. Merton | Tim Bollerslev |
| 类型≠ | Continuous-time asset price model (diffusion plus Poisson jumps) | Conditional volatility model |
| 开创性文献≠ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ | Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI ↗ |
| 别名≠ | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) | GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini) |
| 相关≠ | 4 | 5 |
| 摘要≠ | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. | The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series. |
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