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| 비선형 EGARCH 모형× | EGARCH 모형 (Exponential GARCH)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도 | 1991 | 1991 |
| 창시자 | Daniel B. Nelson | Daniel B. Nelson |
| 유형≠ | Conditional volatility model | Volatility / conditional variance model |
| 원전 | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| 별칭 | NL-EGARCH, nonlinear exponential GARCH, asymmetric EGARCH, NEGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| 관련≠ | 5 | 6 |
| 요약≠ | The Nonlinear EGARCH model extends Nelson's (1991) Exponential GARCH by allowing the news impact function to take a flexible nonlinear form, capturing asymmetric and nonlinear responses of conditional volatility to past shocks. It is widely used in financial econometrics to model leverage effects and complex volatility dynamics in asset returns. | 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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