Regression modelEconometrics / time series
结构性断点EGARCH模型
结构性断点EGARCH模型将Nelson的指数GARCH框架与对波动率过程中一个或多个结构性断点的显式允许相结合。通过允许对数方差方程的截距和持续性参数在检测到的断点处发生变化，该模型可以避免标准EGARCH在数据包含状态转换时所遭受的虚假长记忆和持续性膨胀问题。
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来源
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI: 10.2307/2938260 ↗
- Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business and Economic Statistics, 8(2), 225–234. DOI: 10.1080/07350015.1990.10509794 ↗
如何引用本页
ScholarGate. (2026, June 3). Exponential GARCH Model with Structural Breaks. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-egarch
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.
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