Regression modelEconometrics / time series

稳健TGARCH — 具有稳健估计的阈值GARCH

稳健TGARCH通过用对重尾创新和异常值不敏感的估计量替换常规的最大似然目标，扩展了阈值GARCH模型。它捕捉了不对称波动率响应——负冲击比正冲击更能放大波动率——同时在收益率分布与正态分布存在显著偏差时保持可靠性。

用 EconMind 应用即将推出视频即将推出Download slides

阅读完整方法

仅限会员

使用免费账户登录即可阅读本节。

Method map

The neighbourhood of related methods — select a node to explore.

稳健TGARCH

自回归条件异方差 (ARCH) 模型动态条件相关 (DCC-GARCH) 模型 EGARCH model 稳健ARCH模型稳健GARCH模型 TGARCH 模型（阈值 GARCH）稳健动态条件相关GARCH (Robust DC…稳健 EGARCH 模型

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 ↗
Preminger, A., & Storti, G. (2017). Least squares estimation for GARCH (1,1) model with heavy tailed errors. The Econometrics Journal, 20(1), 221–258. link ↗

如何引用本页

ScholarGate. (2026, June 3). Robust Threshold Generalized Autoregressive Conditional Heteroscedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-tgarch

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.

Compare side by side →

被引用于

发现本页有问题？报告或提出修改建议 →