Regression modelEconometrics / time series
时变参数EGARCH模型
TVP-EGARCH模型扩展了Nelson (1991) 的指数GARCH模型，允许其波动率方程的参数——包括杠杆效应系数——随时间连续漂移。这使得在不施加固定断点的情况下，能够捕捉金融收益率波动率中的结构性变化和状态演变。
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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 ↗
- Harvey, A. C. (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press. ISBN: 9781107034723
如何引用本页
ScholarGate. (2026, June 3). Time-Varying Parameter Exponential GARCH Model. ScholarGate. https://scholargate.app/zh/econometrics/time-varying-parameter-egarch-model
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