방법 비교

	ARCH 모형 (자기회귀 조건부 이분산성)	지수적 GARCH (EGARCH)
분야	계량경제학	계량경제학
계열	Regression model	Regression model
기원 연도	1982	1991
창시자	Robert F. Engle	Nelson
유형	Conditional volatility model	Conditional volatility model (asymmetric GARCH variant)
원전	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.
별칭	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
관련	6	4
요약	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.	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.