Módszerek összehasonlítása

	ARCH modell (Autoregressive Conditional Heteroskedasticity)	EGARCH modell (Exponenciális GARCH)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1982	1991
Megalkotó	Robert F. Engle	Daniel B. Nelson
Típus	Conditional volatility model	Volatility / conditional variance model
Alapmű	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.
Alternatív nevek	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Kapcsolódó	6	6
Összefoglaló	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.