Comparer des méthodes

	Modèle ARCH à Rupture Structurelle	Modèle EGARCH (GARCH exponentiel)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982–1990	1991
Auteur d'origine	Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence	Daniel B. Nelson
Type	Volatility model with regime change	Volatility / conditional variance model
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 with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Apparentées	5	6
Résumé	The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit.	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.