Salīdzināt metodes

	EGARCH (Exponential GARCH)	Markov režīmu pārslēgšanās modelis (MS-AR / MS-VAR)
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Regression model
Izcelsmes gads	1991	1989
Autors	Nelson	Hamilton (1989); Kim & Nelson (1999)
Tips	Conditional volatility model (asymmetric GARCH variant)	Regime-switching time series model
Pirmavots	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Citi nosaukumi	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR
Saistītās	4	5
Kopsavilkums	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.	The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions.