Regression modelEconometrics / time series
结构性断裂 TGARCH (具有结构性断裂的阈值 GARCH)
结构性断裂 TGARCH 模型将阈值 GARCH (GJR-GARCH) 模型扩展，以适应波动率过程中离散的、永久性的变化。通过检测结构性断裂并将其纳入模型——无论是作为特定状态的截距项还是虚拟变量——该模型将真实的波动率持续性与被忽略的状态变化引起的虚假持续性区分开来，并保留了股票和金融收益数据所特有的不对称杠杆效应。
阅读完整方法
仅限会员
登录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.
来源
- Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234. DOI: 10.1080/07350015.1990.10509794 ↗
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). Structural Break Threshold GARCH. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-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 →