Regression modelEconometrics / time series
非线性GARCH模型
非线性GARCH模型扩展了标准的GARCH框架，以捕捉条件波动率对过去冲击的非对称和非线性响应。它允许负回报（坏消息）比等量正回报更能放大波动率，这种现象被称为杠杆效应，在金融市场中普遍存在。
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来源
- Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801. DOI: 10.1111/j.1540-6261.1993.tb05128.x ↗
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. DOI: 10.2307/2938260 ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-garch-model
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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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