Regression model
广义自回归条件异方差模型 (GARCH)
GARCH是一种计量经济学模型，用于描述金融时间序列随时间变化的波动性。它由Tim Bollerslev于1986年提出，是Engle的ARCH模型的推广。该模型将条件方差视为过去冲击平方项和过去方差的函数，能够捕捉收益率中观察到的波动率聚集现象。
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来源
- Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI: 10.1016/0304-4076(86)90063-1 ↗
如何引用本页
ScholarGate. (2026, June 1). Generalized Autoregressive Conditional Heteroskedasticity. ScholarGate. https://scholargate.app/zh/econometrics/garch
Which method?
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.
- ARIMA（自回归积分滑动平均）模型计量经济学↔ compare
- DCC-GARCH（动态条件相关性）金融学↔ compare
- 指数 GARCH (EGARCH)计量经济学↔ compare
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- GJR-GARCH (不对称 GARCH)计量经济学↔ compare