Módszerek összehasonlítása

	Breusch-Pagan teszt a heteroszkedaszticitásra	Exponenciális GARCH (EGARCH)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1979	1991
Megalkotó	Trevor Breusch & Adrian Pagan	Nelson
Típus	Lagrange-multiplier test for heteroskedasticity	Conditional volatility model (asymmetric GARCH variant)
Alapmű	Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alternatív nevek	BP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Kapcsolódó	3	4
Összefoglaló	The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.