Comparer des méthodes

	Exponential GARCH (EGARCH)	Modèle à changement de régime markovien (MS-AR / MS-VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1991	1989
Auteur d'origine	Nelson	Hamilton (1989); Kim & Nelson (1999)
Type	Conditional volatility model (asymmetric GARCH variant)	Regime-switching time series model
Source fondatrice	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Alias	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Apparentées	4	5
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.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.