Сравнение на методи

	Модел EGARCH със структурни прекъсвания	Модел ARCH (Авторегресивен условен хетероскедастичност)
Област	Иконометрия	Иконометрия
Семейство	Regression model	Regression model
Година на възникване	1990–1991	1982
Създател	Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants	Robert F. Engle
Тип	Volatility model with structural breaks	Conditional volatility model
Основополагащ източник	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Други названия	SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Свързани	5	6
Резюме	Structural Break EGARCH combines Nelson's Exponential GARCH framework with explicit allowance for one or more structural breaks in the volatility process. By letting the intercept and persistence parameters of the log-variance equation shift at detected break dates, the model avoids the spurious long-memory and inflated persistence that standard EGARCH suffers when the data contain regime changes.	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.