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| Модел ARCH (Авторегресивен условен хетероскедастичност)× | Експоненциален GARCH (EGARCH)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1982 | 1991 |
| Създател≠ | Robert F. Engle | Nelson |
| Тип≠ | Conditional volatility model | Conditional volatility model (asymmetric GARCH variant) |
| Основополагащ източник≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Други названия | ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Свързани≠ | 6 | 4 |
| Резюме≠ | The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
| ScholarGateНабор от данни ↗ |
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