Comparer des méthodes

	Modèle GARCH à Paramètres Variables dans le Temps (TVP-GARCH)	Modèle EGARCH (GARCH exponentiel)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982–2013	1991
Auteur d'origine	Engle (1982) for ARCH/GARCH foundation; extended by Creal, Koopman & Lucas (2013) and others for time-varying parameter variants	Daniel B. Nelson
Type	Volatility 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-GARCH, time-varying GARCH, TV-GARCH, state-space GARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Apparentées	5	6
Résumé	The Time-Varying Parameter GARCH model extends the standard GARCH framework by allowing the conditional variance parameters — including the ARCH and GARCH coefficients — to change over time rather than remaining fixed throughout the sample. This makes it well-suited to financial and macroeconomic series where volatility dynamics evolve across different market regimes or economic episodes.	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.