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| 構造的変動ARCH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≠ | 1982–1990 | 1991 |
| 提唱者≠ | Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence | Daniel B. Nelson |
| 種類≠ | Volatility model with regime change | Volatility / conditional variance model |
| 原典≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| 別名 | ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| 関連≠ | 5 | 6 |
| 概要≠ | 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. |
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