手法を比較

	ロバストEGARCHモデル	EGARCHモデル（指数型GARCH）
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2008	1991
提唱者	Nelson (1991) for EGARCH; robust adaptation via Muler & Yohai (2008) and related authors	Daniel B. Nelson
種類	Robust volatility model	Volatility / conditional variance model
原典	Muler, N., & Yohai, V. J. (2008). Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918–2940.	Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
別名	Robust EGARCH model, outlier-robust EGARCH, robust exponential GARCH, REGARCH	Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH
関連	6	6
概要	Robust EGARCH extends Nelson's (1991) Exponential GARCH model by replacing standard quasi-maximum likelihood estimation with outlier-resistant procedures — typically bounded-influence or M-estimation — so that a small fraction of extreme observations or data errors cannot distort the estimated volatility dynamics or the leverage effect.	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.