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| مدل نمایی GARCH (EGARCH)× | آزمون همانباشتگی یوهانسن و مدل برداری تصحیح خطا× | |
|---|---|---|
| حوزه≠ | اقتصادسنجی | مالی |
| خانواده | Regression model | Regression model |
| سال پیدایش | 1991 | 1991 |
| پدیدآور≠ | Nelson | Søren Johansen |
| نوع≠ | Conditional volatility model (asymmetric GARCH variant) | Multivariate cointegration / vector error correction model |
| منبع بنیادین≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| نامهای دیگر≠ | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | Johansen test, VECM, vector error correction model, multivariate cointegration |
| مرتبط≠ | 4 | 3 |
| خلاصه≠ | 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. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
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