Regression modelEconometrics / time series
贝叶斯阈值GARCH模型 (Bayesian TGARCH)
贝叶斯阈值GARCH模型结合了阈值GARCH波动率模型——该模型捕捉波动率对正向和负向冲击的非对称反应——以及通过马尔可夫链蒙特卡洛抽样实现的完全贝叶斯推断。其结果是一个基于原理、考虑不确定性的框架，用于模拟杠杆效应和厚尾金融收益。
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来源
- Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI: 10.1016/0165-1889(94)90039-6 ↗
- Ardia, D. (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications. Springer. ISBN: 978-3-540-78656-6
如何引用本页
ScholarGate. (2026, June 3). Bayesian Threshold Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-tgarch
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Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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