Comparer des méthodes

	Exponential GARCH (EGARCH)	Modèles à mémoire longue (ARFIMA, FIGARCH)
Domaine	Économétrie	Finance
Famille	Regression model	Regression model
Année d'origine	1991	1980
Auteur d'origine	Nelson	Granger & Joyeux (ARFIMA); Baillie, Bollerslev & Mikkelsen (FIGARCH)
Type	Conditional volatility model (asymmetric GARCH variant)	Fractionally integrated time series model
Source fondatrice	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15-29.
Alias	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	ARFIMA, FIGARCH, fractionally integrated models, fractional integration
Apparentées	4	4
Résumé	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.	Long-memory models are fractional-integration methods that capture genuine long memory through a hyperbolically decaying autocorrelation structure. ARFIMA, introduced by Granger and Joyeux (1980), models long memory in return series, while FIGARCH, introduced by Baillie, Bollerslev and Mikkelsen (1996), captures long memory in volatility series; the parameter d measures the degree of fractional integration.