Módszerek összehasonlítása

	Nemlineáris GARCH modell	EGARCH modell (Exponenciális GARCH)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1991-1993	1991
Megalkotó	Glosten, Jagannathan & Runkle; Nelson (1991) for EGARCH	Daniel B. Nelson
Típus	Volatility model	Volatility / conditional variance model
Alapmű	Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(5), 1779-1801.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Alternatív nevek	NL-GARCH, asymmetric GARCH, GJR-GARCH, nonlinear volatility model	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Kapcsolódó	6	6
Összefoglaló	The Nonlinear GARCH model extends the standard GARCH framework to capture asymmetric and nonlinear responses of conditional volatility to past shocks. It allows negative returns (bad news) to amplify volatility more than positive returns of equal magnitude, a phenomenon known as the leverage effect, which is empirically pervasive in financial markets.	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.