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| Exponential GARCH (EGARCH)× | Test de Cointegració de Johansen i Model de Correcció d'Errors Vectorial× | |
|---|---|---|
| Camp≠ | Econometria | Finances |
| Família | Regression model | Regression model |
| Any d'origen | 1991 | 1991 |
| Autor original≠ | Nelson | Søren Johansen |
| Tipus≠ | Conditional volatility model (asymmetric GARCH variant) | Multivariate cointegration / vector error correction model |
| Font seminal≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Àlies≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Relacionats≠ | 4 | 3 |
| 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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