Módszerek összehasonlítása

	A GARCH (Generalized Autoregressive Conditional Heteroskedasticity) modell	Exponenciális GARCH (EGARCH)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1986	1991
Megalkotó	Tim Bollerslev	Nelson
Típus	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
Alapmű	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
Alternatív nevek	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
Kapcsolódó	5	4
Összefoglaló	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.	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.