विधियों की तुलना करें

	रोबस्ट ईजीएआरसीएच मॉडल	EGARCH मॉडल (घातीय GARCH)
क्षेत्र	अर्थमिति	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	2008	1991
प्रवर्तक	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Daniel B. Nelson
प्रकार	Robust volatility model	Volatility / conditional variance model
मौलिक स्रोत	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
उपनाम	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
संबंधित	6	6
सारांश	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.