Skip to contentScholarGate
LibraryBookshelfDeskReview StudioAssistant
Sign in
EGARCH/Evidence
Method evidence record

EGARCH

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.

Sources recorded, not reviewed

Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Exponential Generalised Autoregressive Conditional Heteroskedasticity
Taxonomic method record · regression-model / econometrics
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. · DOI 10.2307/2938260
  • Engle, R. F. & Ng, V. K. (1993). Measuring and Testing the Impact of News on Volatility. The Journal of Finance, 48(5), 1749-1778. · DOI 10.1111/j.1540-6261.1993.tb05127.x
Open full method

Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

No curated claims yet

This view does not invent a claim assessment when the ledger has none.

Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGJR-GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyTBATSmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

Actions

Open method page
ScholarGate

A content-first reference library for research methods — what each one is, how it works, and where it comes from.

Open data (CC-BY)

Explore

  • Library
  • Search the library…
  • Browse by field
  • Fields
  • Journey
  • Compare
  • Which method?

Reference

  • Subjects
  • Atlas
  • Glossary
  • Methodology
  • Philosophy

Your tools

  • Bookshelf
  • Desk
  • Chat

Company

  • About
  • Pricing
  • Contact
  • Suggest a method

Entries are compiled from published sources for reference. Verifying the accuracy and suitability of any information for your own use remains your responsibility.

© 2026 ScholarGate · A research-method reference library
  • Privacy
  • Cookies
  • Terms
  • Delete account