Módszerek összehasonlítása

	EGARCH modell (Exponenciális GARCH)	ARCH modell (Autoregressive Conditional Heteroskedasticity)	DCC-GARCH modell (Dinamikus Feltételes Korreláció)	GARCH modell (volatilitás-előrejelzés)
Tudományterület	Ökonometria	Ökonometria	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model	Regression model	Regression model
Keletkezés éve	1991	1982	2002	1986
Megalkotó	Daniel B. Nelson	Robert F. Engle	Robert F. Engle	Tim Bollerslev
Típus	Volatility / conditional variance model	Conditional volatility model	Multivariate volatility model	Conditional volatility model
Alapmű	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alternatív nevek	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Kapcsolódó	6	6	5	5
Összefoglaló	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.	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 DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.