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| Model EGARCH amb Trencament Estructural× | Test d'estructures de trencament de Zivot-Andrews× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1990–1991 | 1992 |
| Autor original≠ | Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants | Eric Zivot and Donald W. K. Andrews |
| Tipus≠ | Volatility model with structural breaks | Unit root test with endogenous structural break |
| Font seminal≠ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. DOI ↗ |
| Àlies | SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relacionats≠ | 5 | 6 |
| Resum≠ | 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 Zivot-Andrews (ZA) test is a unit root test that endogenously identifies the most likely location of a single structural break in a time series. Unlike the standard ADF test, it does not require the researcher to pre-specify when the break occurred, making it robust to data-driven regime shifts such as policy changes, financial crises, or major economic events. |
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