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| Modèle GARCH bayésien× | Modèle EGARCH (GARCH exponentiel)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1989–2000 | 1991 |
| Auteur d'origine≠ | Geweke (1989); further developed by Nakatsuma (2000) and Bauwens & Lubrano (1998) | Daniel B. Nelson |
| Type≠ | Bayesian volatility model | Volatility / conditional variance model |
| Source fondatrice≠ | Geweke, J. (1989). Exact predictive densities for linear models with ARCH disturbances. Journal of Econometrics, 40(1), 63–86. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Alias | Bayesian GARCH, BGARCH, GARCH with Bayesian inference, Bayesian volatility model | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Apparentées≠ | 4 | 6 |
| Résumé≠ | The Bayesian GARCH model combines the GARCH framework for time-varying volatility with Bayesian posterior inference. Instead of maximising a likelihood, it specifies prior distributions for the GARCH parameters and draws from the resulting posterior — typically via Markov chain Monte Carlo (MCMC) — to quantify both point estimates and full uncertainty about volatility dynamics. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
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