Methoden vergelijken

	Exponential GARCH (EGARCH)	GARCH (Generalized Autoregressive Conditional Heteroskedasticity)
Vakgebied	Econometrie	Econometrie
Familie	Regression model	Regression model
Jaar van ontstaan	1991	1986
Grondlegger	Nelson	Tim Bollerslev
Type	Conditional volatility model (asymmetric GARCH variant)	Conditional volatility model
Oorspronkelijke bron	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
Aliassen	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH	GARCH(1,1), generalized ARCH, conditional volatility model, GARCH Modeli
Verwant	4	5
Samenvatting	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.	GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.