Comparer des méthodes

	Autoregressive Conditional Heteroskedasticity généralisée (GARCH)	Exponential GARCH (EGARCH)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1986	1991
Auteur d'origine	Tim Bollerslev	Nelson
Type	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Source fondatrice	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alias	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Apparentées	5	4
Résumé	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	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.