Methoden vergleichen

	EGARCH-Modell (Exponential GARCH)	ARCH-Modell (Autoregressive Conditional Heteroskedasticity)	GARCH-Modell (Volatilitätsvorhersage)
Fachgebiet	Ökonometrie	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model	Regression model
Entstehungsjahr	1991	1982	1986
Urheber	Daniel B. Nelson	Robert F. Engle	Tim Bollerslev
Typ	Volatility / conditional variance model	Conditional volatility model	Conditional volatility model
Wegweisende Quelle	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.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Aliasnamen	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Verwandt	6	6	5
Zusammenfassung	The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets.	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.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.