Vertaile menetelmiä

	Breusch–Paganin testi heteroskedastisuudelle	Eksponentiaalinen GARCH (EGARCH)
Tieteenala	Ekonometria	Ekonometria
Menetelmäperhe	Regression model	Regression model
Syntyvuosi	1979	1991
Kehittäjä	Trevor Breusch & Adrian Pagan	Nelson
Tyyppi	Lagrange-multiplier test for heteroskedasticity	Conditional volatility model (asymmetric GARCH variant)
Alkuperäislähde	Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Rinnakkaisnimet	BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Liittyvät	3	4
Tiivistelmä	The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated.	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.