Methoden vergleichen

	Generalisierte Autoregressive Bedingte Heteroskedastizität (GARCH)	Exponential GARCH (EGARCH)
Fachgebiet	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model
Entstehungsjahr	1986	1991
Urheber	Tim Bollerslev	Nelson
Typ	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Wegweisende Quelle	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Aliasnamen	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Verwandt	5	4
Zusammenfassung	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.	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.