Võrdle meetodeid

	Aeguvariatiivse parameetriga EGARCH-mudel	GARCH-mudel (volatiilsuse prognoosimine)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	1991–2000s	1986
Looja	Nelson (1991) for EGARCH; TVP extension developed across the 1990s–2000s literature (e.g., Harvey, Engle and co-authors)	Tim Bollerslev
Tüüp	Conditional volatility model	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	TVP-EGARCH, time-varying EGARCH, EGARCH with time-varying parameters, dynamic parameter EGARCH	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Seotud	3	5
Kokkuvõte	The TVP-EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the volatility equation's parameters — including the leverage effect coefficient — to drift continuously over time. This makes it possible to capture structural change and regime evolution in financial return volatility without imposing a fixed break date.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.