Comparer des méthodes

	Modèle ARCH (Hétéroscédasticité Conditionnelle Autorégressive)	Exponential GARCH (EGARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982	1991
Auteur d'origine	Robert F. Engle	Nelson
Type	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Source fondatrice	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alias	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Apparentées	6	4
Résumé	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.