Compara mètodes

	Model ARCH (Autoregressive Conditional Heteroskedasticity)	Exponential GARCH (EGARCH)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1982	1991
Autor original	Robert F. Engle	Nelson
Tipus	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Font seminal	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Àlies	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Relacionats	6	4
Resum	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.