Módszerek összehasonlítása

	Strukturális töréspontos ARCH modell	EGARCH modell (Exponenciális GARCH)
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model
Keletkezés éve	1982–1990	1991
Megalkotó	Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence	Daniel B. Nelson
Típus	Volatility model with regime change	Volatility / conditional variance model
Alapmű	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Alternatív nevek	ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
Kapcsolódó	5	6
Összefoglaló	The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit.	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.