Comparer des méthodes

	Modèle ARCH à paramètres variant dans le temps (TVP-ARCH)	Modèle EGARCH (GARCH exponentiel)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1980s–1990s	1991
Auteur d'origine	Extension of Engle (1982) ARCH; TVP-ARCH formalization credited to Nicholls & Quinn and subsequent state-space literature	Daniel B. Nelson
Type	Conditional heteroscedasticity model with time-varying coefficients	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	TVP-ARCH, time-varying ARCH, adaptive ARCH, state-space ARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Apparentées	5	6
Résumé	The Time-Varying Parameter ARCH (TVP-ARCH) model extends the classic ARCH framework by allowing both the conditional mean coefficients and the ARCH variance parameters to drift over time according to a random-walk or state-space process. This makes it possible to capture structural shifts in volatility dynamics without imposing a fixed parameter regime.	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.