Võrdle meetodeid

	Eksponentsiaalne GARCH (EGARCH)	Generaliseeritud Autoregressiivne Tingimuslik Heteroskedastilisus (GARCH)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1991	1986
Looja	Nelson	Tim Bollerslev
Tüüp	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Algallikas	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Rööpnimetused	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Seotud	4	5
Kokkuvõte	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.	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.