Compara mètodes

	Exponential GARCH (EGARCH)	Autoregressiu Condicional Heteroscedàstic Generalitzat (GARCH)
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	1991	1986
Autor original	Nelson	Tim Bollerslev
Tipus	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Font seminal	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Àlies	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Relacionats	4	5
Resum	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.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.