השוואת שיטות

	מודל EGARCH לא-לינארי	מודל EGARCH (Exponential GARCH)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1991	1991
הוגה השיטה	Daniel B. Nelson	Daniel B. Nelson
סוג	Conditional volatility model	Volatility / conditional variance model
מקור מכונן	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.
כינויים	NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
קשורות	5	6
תקציר	The Nonlinear EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the news impact function to take a flexible nonlinear form, capturing asymmetric and nonlinear responses of conditional volatility to past shocks. It is widely used in financial econometrics to model leverage effects and complex volatility dynamics in asset returns.	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.