Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo ARCH con Rupturas Estructurales× | Modelo EGARCH (GARCH Exponencial)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1982–1990 | 1991 |
| Autor original≠ | Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence | Daniel B. Nelson |
| Tipo≠ | Volatility model with regime change | Volatility / conditional variance model |
| Fuente seminal≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Alias | ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Relacionados≠ | 5 | 6 |
| Resumen≠ | The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit. | 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. |
| ScholarGateConjunto de datos ↗ |
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