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| Exponenciális GARCH (EGARCH)× | Regresszió Ordináris Legkisebb Négyzetes (OLS) módszerrel× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1991 | 2019 |
| Megalkotó≠ | Nelson | Wooldridge (textbook treatment); classical least squares |
| Típus≠ | Conditional volatility model (asymmetric GARCH variant) | Linear regression |
| Alapmű≠ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Alternatív nevek | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Kapcsolódó≠ | 4 | 5 |
| Összefoglaló≠ | 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. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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