Comparer des méthodes

	Modèle EGARCH à rupture structurelle	Modèle EGARCH (GARCH exponentiel)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1990–1991	1991
Auteur d'origine	Nelson (1991) for EGARCH; Lamoureux and Lastrapes (1990) for break-augmented GARCH variants	Daniel B. Nelson
Type	Volatility model with structural breaks	Volatility / conditional variance model
Source fondatrice	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Alias	SB-EGARCH, EGARCH with regime shifts, break-adjusted EGARCH, structural change EGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Apparentées	5	6
Résumé	Structural Break EGARCH combines Nelson's Exponential GARCH framework with explicit allowance for one or more structural breaks in the volatility process. By letting the intercept and persistence parameters of the log-variance equation shift at detected break dates, the model avoids the spurious long-memory and inflated persistence that standard EGARCH suffers when the data contain regime changes.	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.