Methoden vergleichen

	Robust EGARCH-Modell	EGARCH-Modell (Exponential GARCH)
Fachgebiet	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model
Entstehungsjahr	2008	1991
Urheber	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Daniel B. Nelson
Typ	Robust volatility model	Volatility / conditional variance model
Wegweisende Quelle	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Aliasnamen	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Verwandt	6	6
Zusammenfassung	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.